A Treatise on Econometric Forecasting

  title={A Treatise on Econometric Forecasting},
  author={Alfredo Martinez Estrada},
We investigate the effects of model misspecification and stochastic dynamics in the problem of forecasting. In economics and many fields of engineering, many researchers are guilty of the dangerous practice of treating their mathematical models as the true data generating mechanisms responsible for the observed phenomena and downplaying or omitting all together the important step of model verification. In recent years, econometricians have acknowledged the need to account for model… Expand

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