Unpredictability in economic analysis, econometric modeling and forecasting
Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated informat...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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Elsevier
2014
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| _version_ | 1826285326366146560 |
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| author | Hendry, DF Mizon, GE |
| author_facet | Hendry, DF Mizon, GE |
| author_sort | Hendry, DF |
| collection | OXFORD |
| description | Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated information sets. The implications of unanticipated shifts for forecasting, economic analyses of efficient markets, conditional expectations, and inter-temporal derivations are described. The potential success of general-to-specific model selection in tackling location shifts by impulse-indicator saturation is contrasted with the major difficulties confronting forecasting.
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| first_indexed | 2024-03-07T01:27:10Z |
| format | Journal article |
| id | oxford-uuid:925d303c-a874-4ad7-86c9-0ac0f5d81576 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T01:27:10Z |
| publishDate | 2014 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | oxford-uuid:925d303c-a874-4ad7-86c9-0ac0f5d815762022-03-26T23:24:57ZUnpredictability in economic analysis, econometric modeling and forecastingJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:925d303c-a874-4ad7-86c9-0ac0f5d81576EnglishSymplectic ElementsElsevier2014Hendry, DFMizon, GEUnpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated information sets. The implications of unanticipated shifts for forecasting, economic analyses of efficient markets, conditional expectations, and inter-temporal derivations are described. The potential success of general-to-specific model selection in tackling location shifts by impulse-indicator saturation is contrasted with the major difficulties confronting forecasting. |
| spellingShingle | Hendry, DF Mizon, GE Unpredictability in economic analysis, econometric modeling and forecasting |
| title | Unpredictability in economic analysis, econometric modeling and forecasting |
| title_full | Unpredictability in economic analysis, econometric modeling and forecasting |
| title_fullStr | Unpredictability in economic analysis, econometric modeling and forecasting |
| title_full_unstemmed | Unpredictability in economic analysis, econometric modeling and forecasting |
| title_short | Unpredictability in economic analysis, econometric modeling and forecasting |
| title_sort | unpredictability in economic analysis econometric modeling and forecasting |
| work_keys_str_mv | AT hendrydf unpredictabilityineconomicanalysiseconometricmodelingandforecasting AT mizonge unpredictabilityineconomicanalysiseconometricmodelingandforecasting |