Forecasting Economic Time Series

  title={Forecasting Economic Time Series},
  author={Michael P. Clements and D. Hendry},
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… Expand
A Statistical Forecasting Method for Inflation Forecasting
Typically, when using econometric techniques to forecast economic variables, estimation is carried out on a forecasting model that is built upon some assumed economic structure, based upon a prioriExpand
A Statistical Forecasting Method for Inflation Forecasting: Hitting Every Vector Autoregression and Forecasting under Model Uncertainty
Typically, when conducting econometric forecasting, estimation is carried out on a forecasting model that is built upon some assumed economic structure. However, such techniques cannot avoid runningExpand
Econometric Forecasts Package : Short-Run Forecasting Models for the Current Analysis of the Canadian Economy ¤
To improve the monitoring of the Canadian economy, a new forecasts package is introduced: the Econometric Forecasts Package (EFP). The EFP makes use of di¤erent indicator models or reduced-formExpand
Evaluating factor forecasts for the UK: The role of asset prices
Abstract This paper applies a large data set, consisting of 167 monthly time series for the UK, both economic and financial, to simulate out-of-sample predictions of industrial production, inflation,Expand
A Treatise on Econometric Forecasting
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 dangerousExpand
Structural-Break Models under Mis-specification: Implications for Forecasting
This paper revisits the least squares estimator of the linear regression with a structural break. We view the model as an approximation to the true data generating process whose exact nature isExpand
Dynamic Factor Models in Estimation and Forecasting
The adoption of inflation targeting in emerging market economies makes accurate forecasting of inflation and output growth of primary importance for these economies. Since only short spans of dataExpand
Equilibrium-correction vs. differencing in macroeconometric forecasting
Abstract Recent work by Clements and Hendry elucidate why forecasting systems that are in terms of differences, dVARs, can be more accurate than econometric models that include levels variables,Expand
Empirical Comparisons of Inflation Models' Forecast Accuracy
Forecasting inflation is important in practical monetary policy, and increasingly so in countries who have adopted inflation targeting as their operative monetary policy regime. Inflation models areExpand
Editors' Introduction
This volume represents contributions to this important topic by leading researchers in the field of forecasting and includes the latest research on forecasting macroeconomic and financial variables in the presence of structural breaks and/or model uncertainty. Expand