Principles of Forecasting : A Handbook for Researchers and Practitioners ,

@inproceedings{Allen2000PrinciplesOF,
  title={Principles of Forecasting : A Handbook for Researchers and Practitioners ,},
  author={Paul G. Allen and Robert Fildes},
  year={2000}
}
Several principles are useful for econometric forecasters: keep the model simple, use all the data you can get, and use theory (not the data) as a guide to selecting causal variables. But theory gives little guidance on dynamics, that is, on which lagged values of the selected variables to use. Early econometric models failed in comparison with extrapolative methods because they paid too little attention to dynamic structure. In a fairly simple way, the vector autoregression (VAR) approach that… CONTINUE READING