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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.

62P20 Applications of statistics to economics
91B82 Statistical methods; economic indices and measures
62M20 Inference from stochastic processes and prediction
Full Text: DOI
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