Econometric Evaluation of Linear Macro-Economic Models

  title={Econometric Evaluation of Linear Macro-Economic Models},
  author={Yock Y. Chong and D. Hendry},
  journal={The Review of Economic Studies},
Macro-economic models are generally designed to achieve a multiplicity of objectives and correspondingly, they have been evaluated using a vast range of statistical, econometric, economic, political and even aesthetic criteria. However, in so far as they claim to represent economic behaviour, empirical macro-economic systems are certainly open to direct evaluation and testing against data information. The last few years have witnessed a substantial growth in the literature on econometric… Expand
It is clearly of interest to macroeconomists to be able to evaluate whether one large-scale macroeconometric model ‘is better’ than another. Although comparisons between models are sometimesExpand
Making sense of economic indicators: a consumer's guide to indicators of real economic activity
Economic data are used primarily in two ways. Academic economists typically use data to build models of the economy in order to understand how the economy works. Business analysts, on the other hand,Expand
The role of prediction in evaluating econometric models
  • D. Hendry
  • Engineering
  • Proceedings of the Royal Society of London. A. Mathematical and Physical Sciences
  • 1986
Many statistical and economic criteria must influence the overall evaluation of econometric systems, but success when ‘predictive testing’ seems to establish most credibility, perhaps because theExpand
Can Econometrics Improve Economic Forecasting
After reviewing the history of analyses of economic forecasting, the role of econometrics in improving economic forecasting is considered, building on CLEMENTS and HENDRY (1994a). The basis of theExpand
Macroeconomic Models and Econometrics
Publisher Summary This chapter discusses macroeconomic models and econometrics. It presents a number of econometric issues that play a role in the practice of model building: causality, parameterExpand
Large econometric models of an East European economy: A critique of the methodology
Abstract The W series of econometric models of the Polish economy are widely regarded as the most advanced models for East European economies. The econometric methodology of the W models is analysedExpand
Modelling macroeconomic performance of African economies : an application of a macro econometric model
The main objective of this study has been to model macroeconomic performance of African economies, and therefore, a macro econometric model was constructed to facilitate this exercise. The study hasExpand
Who Forecasts Best ? An Empirical Analysis of Canadian Private-sector Forecasters
Governments in Canada, whether at the national or provincial level, believe that forecasting key macroeconomic variables is important enough to justify building their own macroeconometric modelsExpand
WORKING PAPER No . 12 / 2012 Evaluating Macroeconomic Forecasts : A Concise Review of Some Recent Developments
Macroeconomic forecasts are frequently produced, widely published, intensively discussed and comprehensively used. The formal evaluation of such forecasts has a long research history. Recently, a newExpand
Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments
Macroeconomic forecasts are frequently produced, widely published, intensively discussed and comprehensively used. The formal evaluation of such forecasts has a long research history. Recently, a newExpand


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
The econometric analysis of time series
The Econometric Analysis of Time Series "focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs". Expand
The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
Many econometric models are susceptible to analysis only by asymptotic techniques and there are three principles, based on asymptotic theory, for the construction of tests of parametric hypotheses.Expand
Forecasting Economic Time Series.
Economic Theory, Econometrics, and Mathematical Economics, Second Edition: Forecasting Economic Time Series presents the developments in time series analysis and forecasting theory and practice. ThisExpand
Time series analysis, forecasting and control
This revision of a classic, seminal, and authoritative book explores the building of stochastic models for time series and their use in important areas of application —forecasting, model specification, estimation, and checking, transfer function modeling of dynamic relationships, modeling the effects of intervention events, and process control. Expand
Diagnostic tests as residual analysis
It is shown that most existing tests can be derived in this way from a few elementary principles of specification analysis, and one advantage of this alternative methodology is that it highlights some difficulties in existing approaches and simultaneously indicates a resolution of them. Expand
Stochastic Specification in an Aggregate Demand Model of the United Kingdom
An eight equation dynamic model of aggregate demand in the United Kingdom is estimated by a variety of methods which make different assumptions about, and provide different treatments of, theExpand
Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables
The construction of tests of model specification is considered from a general point of view. The results are applied to testing the serial independence of the disturbances in a regression model whereExpand
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
There occurs on some occasions a difficulty in deciding the direction of causality between two related variables and also whether or not feedback is occurring. Testable definitions of causality andExpand
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Abstract Let n observations Y 1, Y 2, ···, Y n be generated by the model Y t = pY t−1 + e t , where Y 0 is a fixed constant and {e t } t-1 n is a sequence of independent normal random variables withExpand