Macroeconomic Modelling and Forecasting Using Non-Stationary Data
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Описание:
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...Похожие книги
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