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Forecasting in Dynamic Factor Models Subject to Structural Instability *

James H. Stock and Mark W. Watson

in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.003.0007
Subject:
Economics and Finance, Econometrics

This chapter assesses forecasts constructed using dynamic factor models for their reliability in the face of structural breaks. Dynamic factor models have had notable empirical forecasting successes, ... More


Predictive Failure and Econometric Modelling in Macroeconomics: The Transactions Demand for Money

David F. Hendry

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0012
Subject:
Economics and Finance, Econometrics

This tests the DHSY approach in another subject‐matter area (money demand) to investigate its ability to produce improved models and to encompass previous findings. ‘Simple‐to‐general’ modelling ... More


Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results *

Juan J. Doladom, Jesus Gonzalo, and Laura Mayoral

in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.003.0012
Subject:
Economics and Finance, Econometrics

This chapter presents an overview of some new results regarding an easily implementable Wald test-statistic (EFDF test) of the null hypotheses that a time-series process is I(1) or I(0) against ... More


Is Environmental Tax Reform an Appropriate Policy for Industrial Sectors with Different Energy Intensities? An Analysis of UK Industrial Sectors

Paolo Agnolucci

in Environmental Tax Reform (ETR): A Policy for Green Growth

Published in print:
2011
Published Online:
May 2011
ISBN:
9780199584505
eISBN:
9780191725012
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199584505.003.0004
Subject:
Economics and Finance, Macro- and Monetary Economics

Energy intensities of industrial subsectors differ widely due to differences in the final product and ultimately in the production process. The aim of this chapter is to assess whether these ... More


Testing parameter constancy

Timo Teräsvirta, Dag Tjøstheim, and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print:
2010
Published Online:
May 2011
ISBN:
9780199587148
eISBN:
9780191595387
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199587148.003.0006
Subject:
Economics and Finance, Econometrics

This chapter begins by a introducing the well known Chow test of a single structural break in a linear model. The more general case in which the break‐point is assumed unknown is discussed next. This ... More


Model Identification and Nonunique Structure *

David F. Hendry, Maozu Lu, and Grayham E. Mizon

in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.003.0014
Subject:
Economics and Finance, Econometrics

Relevance, reliability, and robustness are critical properties for an econometric model to have in order to be valuable and enduring. To establish these properties requires rigorous evaluation of ... More


Introduction

Marcus Rebick

in The Japanese Employment System: Adapting to a New Economic Environment

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199247240
eISBN:
9780191602566
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199247242.003.0001
Subject:
Economics and Finance, South and East Asia

Sets the stage for the analysis in the rest of the book. There is a review of Japan’s long recession, and the thesis is put forward that rising labour costs due to yen appreciation, the downturn of ... More


The Small Worlds of Corporate Governance

Bruce Kogut (ed.)

Published in print:
2012
Published Online:
August 2013
ISBN:
9780262017275
eISBN:
9780262301572
Item type:
book
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262017275.001.0001
Subject:
Business and Management, Corporate Governance and Accountability

The financial crisis of 2008 laid bare the hidden network of relationships in corporate governance: who owes what to whom, who will stand by whom in times of crisis, what governs the provision of ... More


Short- and medium-term forecasting using ‘pooling’ techniques

L. Vanessa Smith

in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199670086
eISBN:
9780191749469
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199670086.003.0008
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter considers the problem of forecasting economic and financial variables across a large number of countries in the global economy. To this end the global vector autoregressive (GVAR) model ... More


An Overview of the US Economy

Rohit

in It's Not Over: Structural Drivers of the Global Economic Crisis

Published in print:
2013
Published Online:
January 2013
ISBN:
9780198088417
eISBN:
9780199082292
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198088417.003.0007
Subject:
Economics and Finance, Macro- and Monetary Economics

In chapter 7, an overview of the US economy since the 1950s is presented to draw a comparative analysis between the pre- and post-mid 1970s periods. Accordingly, the overall period is divided broadly ... More


Economic Reform and Preferential Trading Agreements

Leonardo Baccini and Johannes Urpelainen

in Cutting the Gordian Knot of Economic Reform: When and How International Institutions Help

Published in print:
2014
Published Online:
December 2014
ISBN:
9780199388998
eISBN:
9780199389018
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199388998.003.0006
Subject:
Political Science, International Relations and Politics, Political Economy

This chapter demonstrates that EU and US preferential trading agreements (PTAs) are associated with major economic reforms. The chapter begins by explaining how major structural breaks can be ... More


Analysis of Positively Valued Economic Time Series

Bernt P. Stigum

in Econometrics in a Formal Science of Economics: Theory and the Measurement of Economic Relations

Published in print:
2014
Published Online:
September 2015
ISBN:
9780262028585
eISBN:
9780262323109
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028585.003.0007
Subject:
Economics and Finance, Econometrics

Chapter VII has two purposes. One is to study the methodological problems that arise in analysing positively valued time series in foreign exchange. The other is to contrast the analysis of time ... More


Theory-Data Confrontations with Time-Series Data

Bernt P. Stigum

in Econometrics in a Formal Science of Economics: Theory and the Measurement of Economic Relations

Published in print:
2014
Published Online:
September 2015
ISBN:
9780262028585
eISBN:
9780262323109
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028585.003.0006
Subject:
Economics and Finance, Econometrics

Chapter VI begins with a discussion of the axioms of a formal theory-data confrontation in which the data appear as vector-valued sequences of observations of a vector-valued random process. Then it ... More


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