dc.contributor.author | Hendry, David F. | |
dc.date.accessioned | 2012-08-27T10:43:43Z | |
dc.date.available | 2012-08-27T10:43:43Z | |
dc.date.issued | 1996 | |
dc.identifier.citation | Hendry, David F. 'On the constancy of time-series econometric equations'. - Economic & Social Review, Vol. 27, No. 5, October, 1996, pp. 401-422, Dublin: Economic & Social Research Institute | |
dc.identifier.issn | 0012-9984 | |
dc.description.abstract | Parameter constancy is a fundamental requirement for empirical models to be useful
for forecasting, analysing economic policy, or testing economic theories. However, there are surprises in defining a constant-parameter model, such that models with time-varying coefficients, and expansion of the parameterisation over time are both compatible with constancy, yet unbiased forecasts may not entail a sensible model choice. In-sample tests cannot determine likely post-sample predictive failure. A comparison of two models of UK money demand illustrates the analysis empirically, as one suffers considerable predictive failure yet the other does not, despite being identical in-sample. | en |
dc.language.iso | en | |
dc.publisher | Economic & Social Studies | |
dc.source | Economic & Social Review | en |
dc.subject | Time-series econometrics | en |
dc.subject | Parameter constancy | en |
dc.subject | Modeling | en |
dc.title | On the constancy of time-series econometric equations | |
dc.type | Journal Article | |
dc.publisher.place | Dublin | en |
dc.identifier.uri | http://hdl.handle.net/2262/64770 | |