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 nonstationary and changing world. This paper addresses the...
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| Format: | Book section |
| Language: | English |
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Elgar
1999
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| _version_ | 1826297244409659392 |
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| author | Hendry, D |
| author2 | Mills, T |
| author_facet | Mills, T 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 nonstationary and changing world. This paper addresses the basic concepts; the invariance of forecast accuracy measures to isopmorphic 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 cobreaking; and forecasting using leading indicators. |
| first_indexed | 2024-03-07T04:28:37Z |
| format | Book section |
| id | oxford-uuid:cd87a042-75f7-49db-9c71-48668409b966 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T04:28:37Z |
| publishDate | 1999 |
| publisher | Elgar |
| record_format | dspace |
| spelling | oxford-uuid:cd87a042-75f7-49db-9c71-48668409b9662022-03-27T07:29:18ZThe Econometrics of Macroeconomic Forecasting.Book sectionhttp://purl.org/coar/resource_type/c_3248uuid:cd87a042-75f7-49db-9c71-48668409b966EnglishDepartment of Economics - ePrintsElgar1999Hendry, DMills, TWhen 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 nonstationary and changing world. This paper addresses the basic concepts; the invariance of forecast accuracy measures to isopmorphic 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 cobreaking; 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 |