J James Reade

Macroeconomic Modelling and Forecasting Using Non-Stationary Data

Coping with Different Types of Non-Stationarity to Produce Meaningful and Accurate Economic Results

• Broschiertes Buch

Produktbeschreibung

Important aspects of macroeconomic modelling and
forecasting in the presence of non-stationarity are
examined in this book. Three forms of
non-stationarity are assessed: explosive,
structural-break, and unit root non-stationarity.
First, testing for unit-root non-stationarity in the
presence of explosive non-stationarity is considered.
Numerical difficulties are circumvented using
approximations before the finite-sample properties of
the unit-root test are assessed. Secondly the use of
model averaging given non-stationarity is
investigated. While model averaging can provide
competitive forecasts and parameter estimates,
selection is required, and often a single selected
model will perform best. Because averaging does not
avoid the need to select, methods of selection are
discussed. Third, regression models in the presence
of unit-root non-stationarity are estimated. Previous
empirical studies of monetary and fiscal policies
have made little reference to non-stationarity. A
cointegrated
vector-autoregressive model is used to combat this
and evidence for policy interactions is found.

Produktdetails

• Verlag: VDM Verlag Dr. Müller
• Seitenzahl: 244
• Englisch
• Abmessung: 220mm
• ISBN-13: 9783639153156
• ISBN-10: 3639153154
• Artikelnr.: 26398757

Autorenporträt

J James Reade is a Postdoctoral Research Fellow at the University
of Oxford. He completed his PhD at the University of Oxford in
June 2007 under the supervision of Prof. David F. Hendry. His
main research pursuit is the application of econometric methods
to interesting fields of economic theory.