Forecasting economic time series

著者

書誌事項

Forecasting economic time series

Michael P. Clements and David F. Hendry

Cambridge University Press, 1998

  • : pbk

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注記

Includes bibliographical references (p. 339-358) and indexes

内容説明・目次

内容説明

This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.

目次

  • 1. An introduction to economic forecasting
  • 2. First principles
  • 3. Evaluating forecast accuracy
  • 4. Forecasting in univariate processes
  • 5. Monte Carlo techniques
  • 6. Forecasting in co-intergrated systems
  • 7. Forecasting with large-scale macro-econometric models
  • 8. A theory of intercept corrections: beyond mechanistic forecasts
  • 9. Forecasting using leading indicators
  • 10. Combining forecasts
  • 11. Multi-step estimation
  • 12. Parsimony
  • 13. Testing forecast accuracy
  • 14. Postscript.

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