02779mam a22004214a 4500 2351345 BD-DhUL 20160508142248.0 990318s1999 maua b 001 0 eng 99022998 GB99-W0795 0262032724 (hc : alk. paper) (OCoLC)ocm41039851 (NNC)2351345 DLC DLC UKM C#P OrLoB-B BD-DhUL pcc HA30.3 .C55 1999 330.015195 21 CLF Clements, Michael P. Forecasting non-stationary economic time series / Michael P. Clements and David F. Hendry. Cambridge, Mass. : MIT Press, c1999. xxviii, 362 p. : ill. ; 24 cm. USD 25.00 Zeuthen lecture book series Includes bibliographical references (p. 327-345) and indexes. 1. Economic Forecasting -- 2. Forecast Failure -- 3. Deterministic Shifts -- 4. Other Sources -- 5. Differencing -- 6. Intercept Corrections -- 7. Modeling Consumers' Expenditure -- 8. A Small UK Money Model -- 9. Co-breaking -- 10. Modeling Shifts -- 11. A Wage-Price Model -- 12. Postscript. "In their second book on economic forecasting, Michael P. Clements and David F. Hendry ask why some practices seem to work empirically despite a lack of formal support from theory. After reviewing the conventional approach to economic forecasting, they look at the implications for causal modeling, present a taxonomy of forecast errors, and delineate the sources of forecast failure. They show that forecast-period shifts in deterministic factors - interacting with model misspecification, collinearity, and inconsistent estimation - are the dominant source of systematic failure. They then consider various approaches for avoiding systematic forecasting errors, including intercept corrections, differencing, co-breaking, and modeling regime shifts; they emphasize the distinction between equilibrium correction (based on cointegration) and error correction (automatically offsetting past errors). Finally, they present three applications to test the implications of their framework. Their results on forecasting have wider implications for the conduct of empirical econometric research, model formulation, the testing of economic hypotheses, and model-based policy analyses."--BOOK JACKET. Time-series analysis. Economic forecasting Statistical methods. Time-series analysis. Economic forecasting Statistical methods. Hendry, David F. Zeuthen lecture book series. AUTH TOC ddc BK 61821 61821 0 0 ddc 0 330_015195000000000_CLF 0 NFIC 103946 DUL DUL GEN 2002-06-23 Purchased 330.015195 CLF 397436 2016-05-08 2016-05-08 BK