A Treatise on Econometric Forecasting

@inproceedings{Estrada2007ATO,
  title={A Treatise on Econometric Forecasting},
  author={Alfredo Martinez Estrada},
  year={2007}
}
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

Figures and Tables from this paper

A HIGHER ORDER ITERATIVE ALGORITHM FOR MULTIVARIATE OPTIMIZATION PROBLEM
In this paper a higher order iterative algorithm is developed for an unconstrained multivariate optimization problem. Taylor expansion of matrix valued function is used to prove the cubic orderExpand

References

SHOWING 1-10 OF 156 REFERENCES
The effect of misspecification in vector autoregressive moving average models on parameter estimation and forecasting
In this study, the effect of incorrect order identification on parameter estimation and forecasting for the vector autoregressive moving average model has been conducted via a Monte Carlo simulation.Expand
Forecasting Economic Time Series
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 analysesExpand
Forecasting Non-Stationary Economic Time Series
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 forExpand
Tests for Parameter Instability in Regressions with I(1) Processes
This article derives the large-sample distributions of Lagrange multiplier (LM) tests for parameter instability against several alternatives of interest in the context of cointegrated regressionExpand
Some Notes on Misspecification in Multiple Regressions
In empirical research one often faces the problem of estimating a misspecified model. Misspecification can arise either because of omission of a variable specified by the truth, the case of the leftExpand
Time Series Analysis, Forecasting and Control.
Comparing Information in Forecasts from Econometric Models
The information contained in one model's forecast compared to that in another can be assessed from a regression of actual values on predicted values from the two models. The authors do this forExpand
Model Instability and Choice of Observation Window
Recent evidence suggests that many economic time series are subject to structural breaks. In the presence of breaks, including historical data prior to the most recent break to estimate a forecastingExpand
Misspecified models with dependent observations
Abstract General results are given in this paper which allow the development of a theory of estimation and inference for situations in which the model of a data-generating process has beenExpand
Some properties of time series data and their use in econometric model specification
It is well known that time-series analysts have a rather different approach to the analysis of economic data than does the remainder of the econometric profession. One aspect of this difference isExpand
...
1
2
3
4
5
...