Reformulating Empirical Macroeconomic Modelling.
The policy implications of estimated macro-econometric systems depend on the formulations of their equations, the methodology of empirical model selection and evaluation, the techniques of policy analysis, and their forecast performance. Drawing on recent results in the theory of forecasting, we que...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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Oxford University Press
2000
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| _version_ | 1826256576520912896 |
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| author | Hendry, D Mizon, G |
| author_facet | Hendry, D Mizon, G |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | The policy implications of estimated macro-econometric systems depend on the formulations of their equations, the methodology of empirical model selection and evaluation, the techniques of policy analysis, and their forecast performance. Drawing on recent results in the theory of forecasting, we question the role of "rational expectations"; criticize a common approach to testing economic theories; show that impulse-response methods of evaluating policy are seriously flawed; and question the mechanistic derivation of forecasts from econometric systems. In their place, we propose that expectations should be treated as instrumental to agents' decisions; discuss a powerful new approach to the empirical modelling of econometric relationships; offer viable alternatives to studying policy implications; and note modifications to forecasting devices that can enhance their robustness to unanticipated structural breaks. |
| first_indexed | 2024-03-06T18:04:24Z |
| format | Journal article |
| id | oxford-uuid:00f2cdd8-d3d6-4594-8822-014034b94e0a |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T18:04:24Z |
| publishDate | 2000 |
| publisher | Oxford University Press |
| record_format | dspace |
| spelling | oxford-uuid:00f2cdd8-d3d6-4594-8822-014034b94e0a2022-03-26T08:32:11ZReformulating Empirical Macroeconomic Modelling.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:00f2cdd8-d3d6-4594-8822-014034b94e0aEnglishDepartment of Economics - ePrintsOxford University Press2000Hendry, DMizon, GThe policy implications of estimated macro-econometric systems depend on the formulations of their equations, the methodology of empirical model selection and evaluation, the techniques of policy analysis, and their forecast performance. Drawing on recent results in the theory of forecasting, we question the role of "rational expectations"; criticize a common approach to testing economic theories; show that impulse-response methods of evaluating policy are seriously flawed; and question the mechanistic derivation of forecasts from econometric systems. In their place, we propose that expectations should be treated as instrumental to agents' decisions; discuss a powerful new approach to the empirical modelling of econometric relationships; offer viable alternatives to studying policy implications; and note modifications to forecasting devices that can enhance their robustness to unanticipated structural breaks. |
| spellingShingle | Hendry, D Mizon, G Reformulating Empirical Macroeconomic Modelling. |
| title | Reformulating Empirical Macroeconomic Modelling. |
| title_full | Reformulating Empirical Macroeconomic Modelling. |
| title_fullStr | Reformulating Empirical Macroeconomic Modelling. |
| title_full_unstemmed | Reformulating Empirical Macroeconomic Modelling. |
| title_short | Reformulating Empirical Macroeconomic Modelling. |
| title_sort | reformulating empirical macroeconomic modelling |
| work_keys_str_mv | AT hendryd reformulatingempiricalmacroeconomicmodelling AT mizong reformulatingempiricalmacroeconomicmodelling |