Forecasting non-stationary economic time series:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass. [u.a.]
MIT Press
2001
|
| Ausgabe: | 1. MIT Press paperback ed. |
| Schriftenreihe: | Zeuthen lecture book series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXVIII, 362 S. graph. Darst. |
| ISBN: | 0262531895 |
Internformat
MARC
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| 245 | 1 | 0 | |a Forecasting non-stationary economic time series |c Michael P. Clements and David F. Hendry |
| 250 | |a 1. MIT Press paperback ed. | ||
| 264 | 1 | |a Cambridge, Mass. [u.a.] |b MIT Press |c 2001 | |
| 300 | |a XXVIII, 362 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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Datensatz im Suchindex
| _version_ | 1804138621568024576 |
|---|---|
| adam_text | Contents
List of Figures
ХШ
List of Tables
XV
Series Foreword
xvii
Foreword
xix
Preface
xxiii
Common Acronyms
xxix
1
Economic Forecasting
1
1.1
Introduction
1
1.2
Background
3
1.3
Forecasting Economic Time Series
8
1.3.1
Predictability and forecastability
8
1.3.2
Assessing forecast accuracy
9
1.3.3
Time-series properties of the variables
10
1.3.4
ARCH, asymmetric loss, and non-linearity
11
1.3.5
Simulation methods
12
1.3.6
Forecasting in cointegrated systems
12
1.3.7
Intercept corrections
13
1.3.8
A taxonomy of forecast errors
14
1.3.9
Leading indicators
14
1.3.10
Forecast combination
15
1.3.11
Multi-step estimation
15
1.3.12
Parsimony
16
1.3.13
Testing predictive failure
17
1.4
Concepts
17
1.4.1
Unpredictability
17
1.4.2
Moments
19
1.4.3
Forecastability
20
1.4.4
Implications
20
1.5
Theoretical Framework
22
vu
viii Contents
1.5.1
The data generation process
22
1.5.2 1(0)
representation
23
1.5.3
The model class
24
1.6
Measuring Forecast Accuracy
25
1.7
Causal Information in Economic Forecasting
27
1.7.1
Model coincides with the mechanism
29
1.7.2
Model does not coincide with the mechanism
30
1.8
Conclusion
33
2
Forecast Failure 36
2.1
Introduction
36
2.2
An
1(0)
Taxonomy of Forecast Errors
39
2.2.1
Attempts to offset structural breaks
46
2.3
Forecast Failure in Congruent Models
47
2.4
A VEqCM Forecast-error Taxonomy
49
2.5
Equilibrium Correction and Error Correction
51
2.6
Non-congruent Devices Need Not Fail
54
2.7
Extended Model Constancy
60
2.7.1
Is ex-ante non-constancy a fatal flaw?
63
2.8
Conclusion
64
2.9
Appendix A: Taxonomy Derivations for Table
2.1 65
2.10
Appendix B: VEqCM Taxonomy Derivations
67
3
Deterministic Shifts
69
3.1
Introduction
69
3.2
Deterministic Shifts in a Static Regression
71
3.3
Deterministic Shifts in
1(0)
Processes
73
3.3.1
An
1(0)
Monte Carlo illustration
75
3.4
Deterministic Shifts in VEqCMs
78
3.4.1
An
1(1)
Monte Carlo illustration
79
3.5
Unconditional and Conditional Forecast-error Biases
81
3.5.1
Forecasting levels from
Τ
to
Τ
+ 1 82
3.5.2
Forecasting levels from T+ltoT + 2
82
3.5.3
Forecasting levels from
Τ
to
Τ
+ 2 83
3.5.4
Forecasting levels from T + ltoT + 3
84
3.5.5
Overview
84
3.6
Forecasting Levels and Growth Rates
85
3.7
Variance Effects after Structural Breaks
87
3.7.1
Overview
88
3.8
Higher Frequency Data: Breaks in Seasonals
89
3.9
Conclusion
92
3.10
Appendix A: Chow-test Derivation
92
Contents ix
3.11 Appendix
В:
Conditional Forecast-error Biases
93
3.11.1
From
Τ
to
Τ
+ 1 93
3.11.2
From
Τ
+ 1
to
Τ
+ 2 94
3.11.3
From
Τ
to
Τ
+ 2 94
3.11.4
From
Τ
+ 1
to
Τ
+ 3 95
3.12
Appendix C: Unconditional Forecast-error Variances
96
3.12.1
Variances of levels from
Τ
to
Τ
+ 1 96
3.12.2
Variances of levels from T+ltoT + 2
96
3.12.3
Variances of levels from
Τ
to
Τ
+ 2 97
3.12.4
Variances of levels from
Γ
+ 1
to
Τ
+ 3 97
Other Sources
98
4.1
Introduction
98
4.2
Model Mis-specification
99
4.2.1
Mis-specification of stochastic components
99
4.2.2
Deterministic mis-specification
102
4.2.3
Mis-specification in non-stationary processes
103
4.2.4
Breaks in mis-specified causal models
103
4.2.5
Monte Carlo evidence in an
1(0)
process
104
4.3
Estimation Uncertainty
106
4.3.1
Scalar
autoregressive
processes
107
4.3.2
Non-modeled regressors
115
4.3.3
Collinearity in conditional equations
116
4.3.4
Changing collinearity in a VEqCM
119
4.3.5
Lack of parsimony
119
4.3.6
An
1(0)
Monte Carlo illustration
120
4.3.7
Overfitting
122
4.3.8
Macro-econometric models and simulation
124
4.4
Model Mis-specification and Estimation Uncertainty
128
4.5
Forecast Origin Mis-measurement
128
4.6
Conclusion
129
4.7
Appendix: Approximating Powers of Estimates
130
Differencing
133
5.1
Introduction
133
5.2
Forecasting Models
135
5.3
Forecast-error Biases in DVs and DDVs
137
5.3.1
Forecasting levels from TtoT + l
138
5.3.2
Forecasting levels from T + ltoT + 2
139
5.3.3
Forecasting levels from
Τ
to
Τ
+ 2 140
5.3.4
Forecasting levels from
Τ
+ 1
to
Τ
+ 3 141
5.4
Comparing Unconditional Forecast-error Biases
142
χ
Contents
5.5
Variance Effects after Structural Breaks
143
5.5.1
Variances of levels from TtoT+l
143
5.5.2
Variances of levels from
Τ
+ 1
to
Τ
+ 2 144
5.5.3
Variances of levels from
Τ
to
Γ
+ 2 144
5.5.4
Variances of levels from
Τ
+ 1
to
Τ
+ 3 145
5.6
Comparing Unconditional Forecast-error Variances
146
5.6.1
Implications
148
5.7
Correct Empirical Variances
149
5.8
Post-transition Forecast Errors
152
5.8.1
The data generation process
152
5.8.2
VEqCM forecast errors
154
5.8.3 DV
forecast errors
156
5.8.4
Forecast biases under deterministic shifts
158
5.9
Conclusion
160
5.10
Appendix I: A Dynamic
DV 160
5.11
Appendix II:
DV
and DDV Forecast-error Derivations
162
6
Intercept Corrections
6.1
Introduction
166
6.2
The Basics of Intercept Corrections
167
6.3
Intercept Corrections to VEqCMs
173
6.3.1
Biases
175
6.3.2
Variances
177
6.4
Time-series Intercept Corrections
178
6.4.1
VEqCM and
DV
forecast errors
178
6.4.2
Residual-based intercept corrections
181
6.4.3
Time-series based intercept corrections
182
6.4.4
Updating
185
6.5
Conclusion
188
7
Modeling Consumers Expenditure
189
7.1
Introduction
189
7.2
The Data Generation Process
190
7.3
Forecasting Methods
190
7.4
An Empirical Example
191
7.5
The Sample Mean as a Predictor
195
7.6
Differencing
196
7.7
AR(1)
Model: 1-step
Estimádon
198
7.8
Intercept Corrections
201
7.9
ARMA
Predictors
204
7.10
AR(1) Model
-
Multi-step Estimation
206
7.11
Disequilibrium Adjustment
212
8
A Small UK Money Model
8.1
Introduction
8.2
A Four-equation
VAR
8.3
Cointegration
8.4
The
1(0)
system
8.5
A Simultaneous-equations Model
8.5.1
Multi-step forecasts
8.6
Forecast Comparisons
8.7
Intercept Corrections
8.8
Empirical Forecast-accuracy Comparison
8.9
Conclusion
Contents
xi
7.12
Conclusion
214
216
217
219
223
225
226
228
229
232
234
236
9
Co-breaking
240
9.1
Introduction
240
9.2
Contemporaneous Co-breaking
242
9.3
Intertemporal
Co-breaking
245
9.4
Co-breaking in a VEqCM
249
9.5
Cointegration
Co-breaking
251
9.6
Multiple Shifts
252
9.7
Conditional Models
253
9.8
Empirical Co-breaking in UK Money Demand
255
9.9
Conclusion
262
10
Modeling Shifts
264
10.1
Introduction
264
10.2
Regime-switching Models
266
10.2.1
MS-AR models
266
10.2.2
SETAR models
268
10.3
Empirical Models
270
10.3.1
SETAR models of US GNP
271
10.3.2
MS-AR models of US GNP
274
10.3.3
Testing for several regimes: the MS-AR model
275
10.4
A Monte Carlo Study
278
10.5
Analysis of the MS-AR Model Forecast Performance
280
10.6
Conclusion
282
11
A Wage-Price Model
286
11.1
Introduction
286
11.2
Modeling Wages, Prices, and Unemployment
287
11.3
Univariate versus Multivariate Methods
288
xu
Contents
11.4
Direction-of-change Measures of Forecast Accuracy
289
11.5
Quantitative Evaluation of System Forecasts
291
11.6
Qualitative Evaluation of System Forecasts
293
11.6.1
Scalar model forecasts
293
11.7
Tune-series Intercept Corrections
295
11.8
Conclusion
298
12
Postscript
300
12.1
Overview
301
12.2
Methodological Implications
307
12.3
The Way Ahead
309
12.3.1
What influences deterministic terms?
310
12.3.2
What causes deterministic terms to change?
311
12.3.3
How to detect changes in deterministic terms?
312
12.3.4
How to offset changes in deterministic terms?
313
12.3.5
Open systems
313
12.4
Conclusion
314
Exercises
317
References
327
Glossary
347
Author Index
351
Subiect
Ir
idex
355
|
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| id | DE-604.BV035315350 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:31:06Z |
| institution | BVB |
| isbn | 0262531895 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017120024 |
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| physical | XXVIII, 362 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
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| publisher | MIT Press |
| record_format | marc |
| series2 | Zeuthen lecture book series |
| spelling | Clements, Michael P. Verfasser aut Forecasting non-stationary economic time series Michael P. Clements and David F. Hendry 1. MIT Press paperback ed. Cambridge, Mass. [u.a.] MIT Press 2001 XXVIII, 362 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zeuthen lecture book series Economic forecasting Statistical methods Time-series analysis Prognose (DE-588)4047390-9 gnd rswk-swf Wirtschaft (DE-588)4066399-1 gnd rswk-swf Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 gnd rswk-swf Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 s Wirtschaft (DE-588)4066399-1 s Prognose (DE-588)4047390-9 s DE-604 Hendry, David F. 1944- Verfasser (DE-588)120905612 aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017120024&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Clements, Michael P. Hendry, David F. 1944- Forecasting non-stationary economic time series Economic forecasting Statistical methods Time-series analysis Prognose (DE-588)4047390-9 gnd Wirtschaft (DE-588)4066399-1 gnd Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 gnd |
| subject_GND | (DE-588)4047390-9 (DE-588)4066399-1 (DE-588)4300599-8 |
| title | Forecasting non-stationary economic time series |
| title_auth | Forecasting non-stationary economic time series |
| title_exact_search | Forecasting non-stationary economic time series |
| title_full | Forecasting non-stationary economic time series Michael P. Clements and David F. Hendry |
| title_fullStr | Forecasting non-stationary economic time series Michael P. Clements and David F. Hendry |
| title_full_unstemmed | Forecasting non-stationary economic time series Michael P. Clements and David F. Hendry |
| title_short | Forecasting non-stationary economic time series |
| title_sort | forecasting non stationary economic time series |
| topic | Economic forecasting Statistical methods Time-series analysis Prognose (DE-588)4047390-9 gnd Wirtschaft (DE-588)4066399-1 gnd Nichtstationäre Zeitreihenanalyse (DE-588)4300599-8 gnd |
| topic_facet | Economic forecasting Statistical methods Time-series analysis Prognose Wirtschaft Nichtstationäre Zeitreihenanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017120024&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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