Modelling Our Changing World.
By: Castle, Jennifer L.
Contributor(s): Hendry, David F.
Material type:
BookSeries: Palgrave Texts in Econometrics Series: Publisher: Cham : Springer International Publishing AG, 2019Copyright date: �2019Edition: 1st ed.Description: 1 online resource (142 pages).Content type: text Media type: computer Carrier type: online resourceISBN: 9783030214326.Genre/Form: Electronic books.DDC classification: 330.0112 Online resources: Click to View | Item type | Current location | Collection | Call number | Copy number | Status | Date due | Item holds |
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Intro -- Preface -- Acknowledgements -- Contents -- About the Authors -- List of Figures -- 1 Introduction -- Reference -- 2 Key Concepts: A Series of Primers -- 2.1 Time Series Data -- 2.2 Stationarity and Non-stationarity -- 2.3 Structural Breaks -- 2.4 Model Selection -- References -- 3 Why Is the World Always Changing? -- 3.1 Major sources of changes -- 3.2 Incorrectly modelling non-stationarity -- References -- 4 Making Trends and Breaks Work to Our Advantage -- 4.1 Solutions to stochastic trend non-stationarity -- 4.2 Cointegration between integrated processes -- 4.3 Location Shifts -- 4.4 DSGE models -- 4.5 Handling location shifts -- 4.6 Some benefits of non-stationarity -- References -- 5 Detectives of Change: Indicator Saturation -- 5.1 Impulse-Indicator Saturation -- 5.2 Step-Indicator Saturation -- 5.3 Designing Indicator Saturation -- 5.3.1 Trend-Indicator Saturation -- 5.3.2 Multiplicative-Indicator Saturation -- 5.3.3 Designed-Break Indicator Saturation -- 5.4 Outliers and Non-linearity -- References -- 6 The Polymath: Combining Theory and Data -- 6.1 Theory Driven and Data Driven Models -- 6.2 The Drawbacks of Using Each Approach in Isolation -- 6.3 A Combined Approach -- 6.4 Applying the Combined Approach to UK Inflation Data -- References -- 7 Seeing into the Future -- 7.1 Forecasting ignoring shifts -- 7.2 Stochastic trends and forecast uncertainty -- 7.3 Location Shifts and Forecast Uncertainty -- 7.4 Differencing away our troubles -- 7.5 Recommendations -- References -- 8 Conclusions: The Ever-Changing Way Forward -- References -- Author Index -- Subject Index -- Index.
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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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