Forecasting non-stationary economic time series /
Clements, Michael Paul
Forecasting non-stationary economic time series / Michael P. Clements and David F. Hendry. - Cambridge : The MIT Press, 2001. - xxviii, 362 páginas : tablas, gráficas ; 23 cm. - Zeuthen lecture book series .
Glosario : p. 347-349.
Incluye referencias bibliográficas (páginas 327-345) e índices.
1. Economic forecasting: 1.1. Introduction ; 1.2. Background ; 1.3. Forecasting economic time series ; 1.4. Concepts ; 1.5. Theoretical framework ; 1.6. Measuring forecast accuracy ; 1.7. Causal information in economic forecasting ; 1.8. Conclusions -- 2. Forecast failure: 2.1. Introduction ; 2.2. An l(0) taxonomy of forecast errors ; 2.3. Forecast failure in congruent models : 2.4. A VEqCM forecast-error taxonomy ; 2.5. Equilibrium correction and error correction ; 2.6. Non-congruent devices need not fail ; 2.7. Extended model constancy ; 2.8. Conclusion ; 2.9. Appendix A: Taxonomy derivations for table 2.1 ; 2.10. Appendix B: VEqCM taxonomy derivations -- 3. Deterministic shifts: 3.1. Introduction ; 3.2. Deterministic shifts in a static regression ; 3.3. Deterministic shifts in l(0) processes ; 3.4. Deterministic shifts in VEqCMs ; 3.5. Unconditional and conditional forecast-error biases ; 3.6. Forecasting levels and growth rates ; 3.7. Variance effects after structural breaks ; 3.8. Higher frequency data: breaks in seasonals ; 3.9. Conclusion ; 3.10. Appendix A: Chow-test derivation ; Appendix B: Conditional forecast-error biases ; 3.12. Appendix C: Unconditional forecast-error variances -- 4. Other sources: 4.1. Introduction ; 4.2. Model mis-specification ; 4.3. Estimation uncertainty ; 4.4. Model mis-specification and estimation uncertainty ; 4.5. Forecast origin mis-measurement ; 4.6. Conclusion ; 4.7. Appendix: Approximating powers of estimates -- 5. Differencing: 5.1. Introduction ; 5.2. Forecasting models ; 5.3. Forecast-error biases in DVs and DDVs ; 5.4. Comparing unconditional forecast-error biases ; 5.5. Variance effects after structural breaks ; 5.6. Comparing unconditional forecast-error variances ; 5.7. Correct empirical variances ; 5.8. Post-empirical variances ; 5.9. Conclusion ; 5.10. Appendix I: A dynamic DV ; 5.11. Appendix II: DV and DDV forecast-error derivations -- 6. Intercept corrections: 6.1. Introduction ; 6.2. The basics of intercept corrections ; 6.3. Intercept corrections to VEqCMs ; 6.4. Time-series intercept corrections ; 6.5. Conclusion -- 7. Modeling consumers’ expenditure: 7.1. Introduction ; 7.2. The data generation process ; 7.3. Forecasting methods ; 7.4. An empirical example ; 7.5. The sample mean as a predictor ; 7.6. Differencing ; 7.7. AR(1) model: 1-step estimation ; 7.8. Intercept corrections ; 7.9. ARMA predictors ; 7.10. AR(1) model – multi-step estimation ; 7.11. Disequilibrium adjustment ; 7.12. Conclusion -- 8. A small UK money model: 8.1. Introduction ; 8.2. A four-equation VAR ; 8.3. Cointegration ; 8.4. The l(0) system ; 8.5. A simultaneous-equations model -- 8.6. Forecast comparisons ; 8.7. Intercept corrections ; 8.8. Empirical forecast-accuracy comparison ; 8.9. Conclusion -- 9. Co-breaking: 9.1. Introduction ; 9.2. Contemporaneous co-breaking ; 9.3. Intertemporal co-breaking ; 9.4. Co-breaking in a VEqCM ; 9.5. Cointegration co-breaking ; 9.6. Multiple shifts ; 9.7. Conditional models ; 9.8. Empirical co-breaking in UK money demand ; 9.9. Conclusion -- 10. Modeling shifts: 10.1. Introduction ; 10.2. Regime-switching models ; 10.3. Empirical models ; 10.4. A Monte Carlo study ; 10.5. Analysis of the MS-AR model forecast performance ; 10.6. Conclusion -- 11. A wage-price model ; 11.1. Introduction ; 11.2. Modeling wages, prices, and unemployment ; 11.3. Univariate versus multivariate methods ; 11.4. Direction-of-change measures of forecast accuracy ; 11.5. Quantitative evaluation of system forecasts ; 11.6. Qualitative evaluation of system forecasts ; 11.7. Time-series intercept corrections ; 11.8. Conclusion -- 12. Postscript: 12.1. Overview ; 12.2. Methodological implications ; 12.3. The way ahead ; 12.4. Conclusion.
0262531895
330.015195 / C53f
Forecasting non-stationary economic time series / Michael P. Clements and David F. Hendry. - Cambridge : The MIT Press, 2001. - xxviii, 362 páginas : tablas, gráficas ; 23 cm. - Zeuthen lecture book series .
Glosario : p. 347-349.
Incluye referencias bibliográficas (páginas 327-345) e índices.
1. Economic forecasting: 1.1. Introduction ; 1.2. Background ; 1.3. Forecasting economic time series ; 1.4. Concepts ; 1.5. Theoretical framework ; 1.6. Measuring forecast accuracy ; 1.7. Causal information in economic forecasting ; 1.8. Conclusions -- 2. Forecast failure: 2.1. Introduction ; 2.2. An l(0) taxonomy of forecast errors ; 2.3. Forecast failure in congruent models : 2.4. A VEqCM forecast-error taxonomy ; 2.5. Equilibrium correction and error correction ; 2.6. Non-congruent devices need not fail ; 2.7. Extended model constancy ; 2.8. Conclusion ; 2.9. Appendix A: Taxonomy derivations for table 2.1 ; 2.10. Appendix B: VEqCM taxonomy derivations -- 3. Deterministic shifts: 3.1. Introduction ; 3.2. Deterministic shifts in a static regression ; 3.3. Deterministic shifts in l(0) processes ; 3.4. Deterministic shifts in VEqCMs ; 3.5. Unconditional and conditional forecast-error biases ; 3.6. Forecasting levels and growth rates ; 3.7. Variance effects after structural breaks ; 3.8. Higher frequency data: breaks in seasonals ; 3.9. Conclusion ; 3.10. Appendix A: Chow-test derivation ; Appendix B: Conditional forecast-error biases ; 3.12. Appendix C: Unconditional forecast-error variances -- 4. Other sources: 4.1. Introduction ; 4.2. Model mis-specification ; 4.3. Estimation uncertainty ; 4.4. Model mis-specification and estimation uncertainty ; 4.5. Forecast origin mis-measurement ; 4.6. Conclusion ; 4.7. Appendix: Approximating powers of estimates -- 5. Differencing: 5.1. Introduction ; 5.2. Forecasting models ; 5.3. Forecast-error biases in DVs and DDVs ; 5.4. Comparing unconditional forecast-error biases ; 5.5. Variance effects after structural breaks ; 5.6. Comparing unconditional forecast-error variances ; 5.7. Correct empirical variances ; 5.8. Post-empirical variances ; 5.9. Conclusion ; 5.10. Appendix I: A dynamic DV ; 5.11. Appendix II: DV and DDV forecast-error derivations -- 6. Intercept corrections: 6.1. Introduction ; 6.2. The basics of intercept corrections ; 6.3. Intercept corrections to VEqCMs ; 6.4. Time-series intercept corrections ; 6.5. Conclusion -- 7. Modeling consumers’ expenditure: 7.1. Introduction ; 7.2. The data generation process ; 7.3. Forecasting methods ; 7.4. An empirical example ; 7.5. The sample mean as a predictor ; 7.6. Differencing ; 7.7. AR(1) model: 1-step estimation ; 7.8. Intercept corrections ; 7.9. ARMA predictors ; 7.10. AR(1) model – multi-step estimation ; 7.11. Disequilibrium adjustment ; 7.12. Conclusion -- 8. A small UK money model: 8.1. Introduction ; 8.2. A four-equation VAR ; 8.3. Cointegration ; 8.4. The l(0) system ; 8.5. A simultaneous-equations model -- 8.6. Forecast comparisons ; 8.7. Intercept corrections ; 8.8. Empirical forecast-accuracy comparison ; 8.9. Conclusion -- 9. Co-breaking: 9.1. Introduction ; 9.2. Contemporaneous co-breaking ; 9.3. Intertemporal co-breaking ; 9.4. Co-breaking in a VEqCM ; 9.5. Cointegration co-breaking ; 9.6. Multiple shifts ; 9.7. Conditional models ; 9.8. Empirical co-breaking in UK money demand ; 9.9. Conclusion -- 10. Modeling shifts: 10.1. Introduction ; 10.2. Regime-switching models ; 10.3. Empirical models ; 10.4. A Monte Carlo study ; 10.5. Analysis of the MS-AR model forecast performance ; 10.6. Conclusion -- 11. A wage-price model ; 11.1. Introduction ; 11.2. Modeling wages, prices, and unemployment ; 11.3. Univariate versus multivariate methods ; 11.4. Direction-of-change measures of forecast accuracy ; 11.5. Quantitative evaluation of system forecasts ; 11.6. Qualitative evaluation of system forecasts ; 11.7. Time-series intercept corrections ; 11.8. Conclusion -- 12. Postscript: 12.1. Overview ; 12.2. Methodological implications ; 12.3. The way ahead ; 12.4. Conclusion.
0262531895
330.015195 / C53f