Dynamic econometrics
In: Advanced texts in econometrics
In: Advanced texts in econometrics
In: Carnegie Rochester Conference series on public policy: a bi-annual conference proceedings, Band 47, S. 163-190
ISSN: 0167-2231
In: Scottish journal of political economy: the journal of the Scottish Economic Society, Band 44, Heft 4, S. 437-461
ISSN: 1467-9485
To reconcile forecast failure with building congruent empirical models, we analyze the sources of mis‐prediction. This reveals that ex ante forecast failure is purely a function of forecast‐period events, not determinable from in‐sample information. The primary causes are unmodelled shifts in deterministic factors, rather than model mis‐specification, collinearity, or a lack of parsimony. We examine the effects of deterministic breaks on equilibrium‐correction mechanisms, and consider the role of causal variables. Throughout, Monte Carlo simulation and empirical models illustrate the analysis, and support a progressive research strategy based on learning from past failures.
In: Advanced texts in econometrics
In: Oxford bulletin of economics and statistics 58.1996,4
In this compelling 1995 book, David Hendry and Mary Morgan bring together the classic papers of the pioneer econometricians. Together, these papers form the foundations of econometric thought. They are essential reading for anyone seeking to understand the aims, method and methodology of econometrics and the development of this statistical approach in economics. However, because they are technically straightforward, the book is also accessible to students and non-specialists. An editorial commentary places the readings in their historical context and indicates the continuing relevance of these early, yet highly sophisticated, works for current econometric analysis. While this book provides a companion volume to Mary Morgan's acclaimed The History of Econometric Ideas, the editors' commentary both adds to that earlier volume and also provides a stand-alone and synthetic account of the development of econometrics
In: Oxford review of economic policy, Band 10, Heft 2, S. 86-106
ISSN: 1460-2121
In: Journal of institutional and theoretical economics: JITE, Band 130, Heft 2, S. 437-438
ISSN: 0932-4569
In: Scottish journal of political economy: the journal of the Scottish Economic Society, Band 41, Heft 1, S. 1-33
ISSN: 1467-9485
In: Journal of policy modeling: JPMOD ; a social science forum of world issues, Band 14, Heft 3, S. 281-311
ISSN: 0161-8938
In: Oxford review of economic policy, Band 1, Heft 1, S. 72-84
ISSN: 1460-2121
In: The Canadian Journal of Economics, Band 18, Heft 1, S. 66
In: Scottish journal of political economy: the journal of the Scottish Economic Society, Band 30, Heft 3, S. 193-220
ISSN: 1467-9485