Forecasting Economic Time Series
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Forecasting Economic Time Series by Michael Clements
Book DescriptionThis book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.
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Book DetailsISBN: 9780521634809
(228mm x 152mm x 22mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 8-Oct-1998
Country of Publication: United Kingdom
Books By Author Michael Clements
Axmouth Village, Paperback (February 2008)
The village of Axmouth has a very special community. No doubt the rich history and heritage that Axmouth has is the reason why its inhabitants are so justifiably proud of the place in which they live. This book features chapters on the village itself, the community, schools, the river and harbor, and high days.
Evaluating Econometric Forecasts of Economic and Financial Variables, Hardback (January 2005)
Financial econometrics is one of the greatest on-going success stories of recent decades as it has become one of the most active areas of research in econometrics. In this book, Michael Clements presents a clear and logical explanation of the key concepts and ideas of forecasts of economic and financial variable.
Forecasting Economic Time Series, Hardback (October 1998)» View all books by Michael Clements
An extended formal analysis of economic forecasting co-authored by one of the world's leading econometricians.
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