TY  - BOOK
AU  - Clements, Michael
AU  -  Hendry, David
TI  - Forecasting Economic Time Series
SN  - 978-0-521-63480-9
PY  - 1998///
CY  - Cambridge
PB  - Cambridge University Press
KW  - forecasting
KW  - time series
KW  - Monte Carlo techniques
KW  - macroeconometric models
N2  - 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
UR  - https://www.cambridge.org/core/books/forecasting-economic-time-series/E760D839B4D447FF475373ED848583E7#fndtn-contents
ER  -