Revisiting UK consumers' expenditure: Cointegration, breaks and robust forecasts.
We revisit equilibrium-correction modelling of aggregate real consumers' expenditure in the UK, using Autometrics applied to the data in Davidson, Hendry, Srba and Yeo (DHSY; 1978). The many selection decisions involved in developing viable empirical models are discussed in a setting where ther...
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| Format: | Journal article |
| Language: | English |
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Taylor and Francis
2011
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| _version_ | 1797093690582237184 |
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| author | Hendry, D |
| author_facet | Hendry, D |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | We revisit equilibrium-correction modelling of aggregate real consumers' expenditure in the UK, using Autometrics applied to the data in Davidson, Hendry, Srba and Yeo (DHSY; 1978). The many selection decisions involved in developing viable empirical models are discussed in a setting where there are more candidate explanatory variables than observations, here due to Impulse-Indicator Saturation (IIS) for detecting breaks, outliers and data contamination. Additional tests of the selected model include whether it encompasses the original specification, evidence of nonlinearity and if the conditioning variables are super exogenous. We consider how IIS affects economic interpretations of models, and conversely, and the implications of robust forecasting devices. |
| first_indexed | 2024-03-07T04:03:57Z |
| format | Journal article |
| id | oxford-uuid:c583981e-ed8e-4989-a26c-7a50139f4261 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T04:03:57Z |
| publishDate | 2011 |
| publisher | Taylor and Francis |
| record_format | dspace |
| spelling | oxford-uuid:c583981e-ed8e-4989-a26c-7a50139f42612022-03-27T06:31:27ZRevisiting UK consumers' expenditure: Cointegration, breaks and robust forecasts. Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:c583981e-ed8e-4989-a26c-7a50139f4261EnglishDepartment of Economics - ePrintsTaylor and Francis2011Hendry, DWe revisit equilibrium-correction modelling of aggregate real consumers' expenditure in the UK, using Autometrics applied to the data in Davidson, Hendry, Srba and Yeo (DHSY; 1978). The many selection decisions involved in developing viable empirical models are discussed in a setting where there are more candidate explanatory variables than observations, here due to Impulse-Indicator Saturation (IIS) for detecting breaks, outliers and data contamination. Additional tests of the selected model include whether it encompasses the original specification, evidence of nonlinearity and if the conditioning variables are super exogenous. We consider how IIS affects economic interpretations of models, and conversely, and the implications of robust forecasting devices. |
| spellingShingle | Hendry, D Revisiting UK consumers' expenditure: Cointegration, breaks and robust forecasts. |
| title | Revisiting UK consumers' expenditure: Cointegration, breaks and robust forecasts.
|
| title_full | Revisiting UK consumers' expenditure: Cointegration, breaks and robust forecasts.
|
| title_fullStr | Revisiting UK consumers' expenditure: Cointegration, breaks and robust forecasts.
|
| title_full_unstemmed | Revisiting UK consumers' expenditure: Cointegration, breaks and robust forecasts.
|
| title_short | Revisiting UK consumers' expenditure: Cointegration, breaks and robust forecasts.
|
| title_sort | revisiting uk consumers expenditure cointegration breaks and robust forecasts |
| work_keys_str_mv | AT hendryd revisitingukconsumersexpenditurecointegrationbreaksandrobustforecasts |