×

zbMATH — the first resource for mathematics

Unpredictability in economic analysis, econometric modeling and forecasting. (English) Zbl 1311.62193
Summary: Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated information sets. The implications of unanticipated shifts for forecasting, economic analyses of efficient markets, conditional expectations, and inter-temporal derivations are described. The potential success of general-to-specific model selection in tackling location shifts by impulse-indicator saturation is contrasted with the major difficulties confronting forecasting.

MSC:
62P20 Applications of statistics to economics
91B82 Statistical methods; economic indices and measures
62M20 Inference from stochastic processes and prediction
Software:
PcGive
PDF BibTeX XML Cite
Full Text: DOI
References:
[1] Allen, R. C., The british industrial revolution in global perspective, (2009), Cambridge University Press Cambridge
[2] Allen, P. G.; Fildes, R. A., Econometric forecasting strategies and techniques, (Armstrong, J. S., Principles of Forecasting, (2001), Kluwer Academic Publishers Boston), 303-362
[3] Andrews, D. W.K., Heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica, 59, 817-858, (1991) · Zbl 0732.62052
[4] Apostolides, A., Broadberry, S., Campbell, B., Overton, M., van Leeuwen, B., 2008. English gross domestic product, 1300-1700: some preliminary estimates. University of Warwick, Coventry.
[5] Barndorff-Nielsen, O. E.; Shephard, N., Power and bipower variation with stochastic volatility and jumps, J. Financ. Econom., 2, 1-37, (2004)
[6] Barndorff-Nielsen, O. E.; Shephard, N., Econometrics of testing for jumps in financial economics using bipower variation, J. Financ. Econom., 4, 1-30, (2006)
[7] Barrell, R., Forecasting the world economy, (Hendry, D. F.; Ericsson, N. R., Understanding Economic Forecasts, (2001), MIT Press Cambridge, Mass.), 149-169
[8] Barrell, R.; Dury, K.; Holland, D.; Pain, N.; te Velde, D., Financial market contagion and the effects of the crises in east Asia, Russia and Latin America, Natl. Inst. Econ. Rev., 166, 57-73, (1998)
[9] Barro, R. J., Rare disasters, asset prices and welfare costs, Amer. Econ. Rev., 99, 243-264, (2009)
[10] Bontemps, C.; Mizon, G. E., Congruence and encompassing, (Stigum, B. P., Econometrics and the Philosophy of Economics, (2003), Princeton University Press Princeton), 354-378
[11] Bontemps, C.; Mizon, G. E., Encompassing: concepts and implementation, Oxf. Bull. Econom. Statist., 70, 721-750, (2008)
[12] Campbell, J. Y.; Shiller, R. J., Cointegration and tests of present value models, J. Polit. Economy, 95, 5, 1062-1088, (1987)
[13] Cartwright, N., Nature’s capacities and their measurement, (1989), Clarendon Press Oxford
[14] Castle, J. L.; Doornik, J. A.; Hendry, D. F., Model selection when there are multiple breaks, J. Econometrics, 169, 239-246, (2012) · Zbl 1443.62436
[15] Castle, J. L.; Fawcett, N. W.P.; Hendry, D. F., Forecasting with equilibrium-correction models during structural breaks, J. Econometrics, 158, 25-36, (2010) · Zbl 1431.62595
[16] Castle, J. L.; Fawcett, N. W.P.; Hendry, D. F., Forecasting breaks and during breaks, (Clements, M. P.; Hendry, D. F., Oxford Handbook of Economic Forecasting, (2011), Oxford University Press Oxford), 315-353
[17] Castle, J. L.; Hendry, D. F., Model selection in under-specified equations with breaks, J. Econometrics, 178, 286-293, (2014) · Zbl 1293.62179
[18] (Castle, J. L.; Shephard, N., The Methodology and Practice of Econometrics, (2009), Oxford University Press Oxford)
[19] Choi, H.; Varian, H., Predicting the present with google trends, Econ. Rec., 88, 2-9, (2012)
[20] Chow, G. C., Tests of equality between sets of coefficients in two linear regressions, Econometrica, 28, 591-605, (1960) · Zbl 0099.14304
[21] Clements, M. P.; Hendry, D. F., Forecasting economic time series, (1998), Cambridge University Press Cambridge
[22] Clements, M. P.; Hendry, D. F., Explaining the results of the M3 forecasting competition, Int. J. Forecast., 17, 550-554, (2001)
[23] Clements, M. P.; Hendry, D. F., Guest editors’ introduction: information in economic forecasting, Oxf. Bull. Econom. Statist., 67, 713-753, (2005)
[24] Doob, J. L., Stochastic processes, (1953), John Wiley Classics Library New York · Zbl 0053.26802
[25] Doornik, J.A., 2009. Autometrics. See Castle and Shephard (2009), pp. 88-121.
[26] Doornik, J. A.; Hansen, H., An omnibus test for univariate and multivariate normality, Oxf. Bull. Econom. Statist., 70, 927-939, (2008)
[27] Doornik, J. A.; Hendry, D. F., Empirical econometric modelling using pcgive: vol. I, (2009), Timberlake Consultants Press London
[28] Granger, C. W.J.; Pesaran, M. H., A decision-theoretic approach to forecast evaluation, (Chon, W. S.; Li, W. K.; Tong, H., Statistics and Finance: An Interface, (2000), Imperial College Press London), 261-278
[29] Granger, C. W.J.; Pesaran, M. H., Economic and statistical measures of forecasting accuracy, J. Forecast., 19, 537-560, (2000)
[30] Hendry, D. F., The encompassing implications of feedback versus feedforward mechanisms in econometrics, Oxf. Econ. Pap., 40, 132-149, (1988)
[31] Hendry, D. F., Modelling UK inflation, 1875-1991, J. Appl. Econometrics, 16, 255-275, (2001)
[32] Hendry, D. F.; Ericsson, N. R., Modeling the demand for narrow money in the united kingdom and the united states, Eur. Econ. Rev., 35, 833-886, (1991)
[33] Hendry, D. F.; Johansen, S.; Santos, C., Automatic selection of indicators in a fully saturated regression, Comput. Statist., 33, 317-335, (2008), Erratum, 337-339 · Zbl 1222.62091
[34] Hendry, D. F.; Massmann, M., Co-breaking: recent advances and a synopsis of the literature, J. Bus. Econom. Statist., 25, 33-51, (2007)
[35] Hendry, D. F.; Mizon, G. E., Econometric modelling of time series with outlying observations, J. Time Ser. Econom., 3, 1, (2011) · Zbl 1266.91069
[36] Hendry, D. F.; Santos, C., An automatic test of super exogeneity, (Watson, M. W.; Bollerslev, T.; Russell, J., Volatility and Time Series Econometrics, (2010), Oxford University Press Oxford), 164-193 · Zbl 05984104
[37] Jensen, B. A.; Nielsen, J. A., Pricing by no arbitrage, (Cox, D. R.; Hinkley, D. V.; Barndorff-Nielsen, O. E., Time Series Models: In Econometrics, Finance and other Fields, (1996), Chapman and Hall London), 179-225 · Zbl 1063.91509
[38] Johansen, S., Nielsen, B., 2009. An analysis of the indicator saturation estimator as a robust regression estimator. See Castle and Shephard (2009), pp. 1-36. · Zbl 1384.62232
[39] Leitch, G.; Tanner, J. E., Economic forecast evaluation: profits versus the conventional error measures, Amer. Econ. Rev., 81, 580-590, (1991)
[40] Makridakis, S.; Hibon, M., The M3-competition: results, conclusions and implications, Int. J. Forecast., 16, 451-476, (2000)
[41] Pesaran, M. H.; Pettenuzzo, D.; Timmermann, A., Forecasting time series subject to multiple structural breaks, Rev. Econom. Stud., 73, 1057-1084, (2006) · Zbl 1201.91156
[42] Pesaran, M. H.; Timmermann, A., Selection of estimation window in the presence of breaks, J. Econometrics, 137, 134-161, (2007) · Zbl 1360.62385
[43] Phillips, P. C.B., Automated forecasts of Asia-Pacific economic activity, Asia-Pac. Econ. Rev., 1, 92-102, (1995)
[44] Sims, C. A.; Stock, J. H.; Watson, M. W., Inference in linear time series models with some unit roots, Econometrica, 58, 113-144, (1990) · Zbl 0724.62087
[45] Soros, G., The new paradigm for financial markets, (2008), Perseus Books London
[46] Soros, G., The soros lectures, (2010), Perseus Books Philadelphia
[47] Taleb, N. N., The black swan, (2007), Random House New York
[48] Taleb, N. N., Errors, robustness, and the fourth quadrant, Int. J. Forecast., 25, 744-759, (2009)
[49] White, H., A heteroskedastic-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica, 48, 817-838, (1980) · Zbl 0459.62051
[50] White, H., Time series estimation of the effects of natural experiments, J. Econometrics, 135, 527-566, (2006) · Zbl 1418.62544
[51] White, H., Kennedy, P., 2009. Retrospective estimation of causal effects through time. See Castle and Shephard (2009), pp. 59-87. · Zbl 1376.62121
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.