search query: @indexterm ECONOMETRICS / total: 250
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| Author: | Hendry, D. |
| Title: | Royal economic society18 presidential address: The econometrics of macroeconomic forecasting |
| Journal: | Economic Journal
1997 : SEP, VOL. 107:444, p. 1330-1357 |
| Index terms: | ECONOMICS ECONOMETRICS FORECASTING |
| Language: | eng |
| Abstract: | When an econometric model coincides with the mechanism generating the data in an unchanging world, the theory of econometric forecasting is reasonably well developed. however, less is known about forecasting when model and mechanism differ in a non-stationary and changing world. The paper addresses the basic concepts; the invariance of forecast accuracy measures to isomorphic model representations; the roles of causal information, parsimony and collinearity; a reformulated taxonomy of forecast errors. |
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