Please note: In order to keep Hive up to date and provide users with the best features, we are no longer able to fully support Internet Explorer. The site is still available to you, however some sections of the site may appear broken. We would encourage you to move to a more modern browser like Firefox, Edge or Chrome in order to experience the site fully.

Forecasting Non-Stationary Economic Time Series, Paperback / softback Book

Forecasting Non-Stationary Economic Time Series Paperback / softback

Part of the Zeuthen Lectures series

Paperback / softback


Economies evolve and are subject to sudden shifts precipitated by legislative changes, economic policy, major discoveries, and political turmoil.

Macroeconometric models are a very imperfect tool for forecasting this highly complicated and changing process.

Ignoring these factors leads to a wide discrepancy between theory and practice.

In their second book on economic forecasting, Michael P.

Clements and David F. Hendry ask why some practices seem to work empirically despite a lack of formal support from theory.

After reviewing the conventional approach to economic forecasting, they look at the implications for causal modeling, present a taxonomy of forecast errors, and delineate the sources of forecast failure.

They show that forecast-period shifts in deterministic factors-interacting with model misspecification, collinearity, and inconsistent estimation-are the dominant source of systematic failure.

They then consider various approaches for avoiding systematic forecasting errors, including intercept corrections, differencing, co-breaking, and modeling regime shifts; they emphasize the distinction between equilibrium correction (based on cointegration) and error correction (automatically offsetting past errors).

Finally, they present three applications to test the implications of their framework.

Their results on forecasting have wider implications for the conduct of empirical econometric research, model formulation, the testing of economic hypotheses, and model-based policy analyses.


Save 5%



Item not Available
Free Home Delivery

on all orders

Pick up orders

from local bookshops


Also in the Zeuthen Lectures series  |  View all