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Forecasting Economic Time Series

Author

Listed:
  • Clements,Michael
  • Hendry,David
Abstract
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.

Suggested Citation

  • Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809, September.
    • Handle: RePEc:cup:cbooks:9780521634809
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