The Econometrics of Macroeconomic Forecasting.
When an econometric model coincides with the mechanism generating the data in an unchanging world, the theory of economic forecasting is reasonably well developed. However, less is known about forecasting when model and mechanism differ in a non-stationary and changing world. The paper addresses the...
| Príomhchruthaitheoir: | |
|---|---|
| Formáid: | Journal article |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Blackwell Publishing for the Royal Economic Society
1997
|
| _version_ | 1826261913289359360 |
|---|---|
| author | Hendry, D |
| author_facet | Hendry, D |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | When an econometric model coincides with the mechanism generating the data in an unchanging world, the theory of economic forecasting is reasonably well developed. However, less is known about forecasting when model and mechanism differ in a non-stationary and changing world. The paper addresses the basic concepts; the invariance of forecast accuracy measures to isomorphic model representations; the roles of causal information, parsimony and collinearity; a reformulated taxonomy of forecast errors; differencing and intercept corrections to robustify forecasts against biases due to shifts in deterministic factors; the removal of structural breaks by co-breaking; and forecasting using leading indicators. |
| first_indexed | 2024-03-06T19:28:04Z |
| format | Journal article |
| id | oxford-uuid:1c79f851-2b77-40ac-8b2c-0740b8e6c3cb |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T19:28:04Z |
| publishDate | 1997 |
| publisher | Blackwell Publishing for the Royal Economic Society |
| record_format | dspace |
| spelling | oxford-uuid:1c79f851-2b77-40ac-8b2c-0740b8e6c3cb2022-03-26T11:05:46ZThe Econometrics of Macroeconomic Forecasting.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:1c79f851-2b77-40ac-8b2c-0740b8e6c3cbEnglishDepartment of Economics - ePrintsBlackwell Publishing for the Royal Economic Society1997Hendry, DWhen an econometric model coincides with the mechanism generating the data in an unchanging world, the theory of economic forecasting is reasonably well developed. However, less is known about forecasting when model and mechanism differ in a non-stationary and changing world. The paper addresses the basic concepts; the invariance of forecast accuracy measures to isomorphic model representations; the roles of causal information, parsimony and collinearity; a reformulated taxonomy of forecast errors; differencing and intercept corrections to robustify forecasts against biases due to shifts in deterministic factors; the removal of structural breaks by co-breaking; and forecasting using leading indicators. |
| spellingShingle | Hendry, D The Econometrics of Macroeconomic Forecasting. |
| title | The Econometrics of Macroeconomic Forecasting. |
| title_full | The Econometrics of Macroeconomic Forecasting. |
| title_fullStr | The Econometrics of Macroeconomic Forecasting. |
| title_full_unstemmed | The Econometrics of Macroeconomic Forecasting. |
| title_short | The Econometrics of Macroeconomic Forecasting. |
| title_sort | econometrics of macroeconomic forecasting |
| work_keys_str_mv | AT hendryd theeconometricsofmacroeconomicforecasting AT hendryd econometricsofmacroeconomicforecasting |