Intercept corrections and structural change

Journal of Applied Econometrics

Volumn 11, Issue 5, 1996, Pages 475-494

  Clements, Michael P ^a  

^a UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 21444436443     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-1255(199609)11:5<475::AID-JAE409>3.0.CO;2-9     Document Type: Article

References (20)

1. Baillie, R. T. (1993), 'Comment on "On the limitations of comparing mean squared forecast errors", by M. P. Clements and D. F. Hendry', Journal of Forecasting, 12, 639-641.
2. Clements, M. P. and D. F. Hendry (1993), 'On the limitations of comparing mean squared forecast errors', Journal of Forecasting, 12, 617-637. With discussion.
3. Clements, M. P. and D. F. Hendry (1994), 'Towards a theory of economic forecasting', in C. Hargreaves (ed.), Non-stationary Time-series Analyses and Cointegration, pp. 9-52, oxford University Press, Oxford.
4. Clements, M. P. and D. F. Hendry (1995a), 'Forecasting in cointegrated systems', Journal of Applied Econometrics, 10, 127-146.
5. Clements, M. P. and D. F. Hendry (1995b), 'Macro-economic forecasting and modelling', Economic Journal, 105, 1001-1013.
6. Clements, M. P. and G. E. Mizon (1991), 'Empirical analysis of macroeconomic time series: VAR and structural models', European Economic Review, 35, 887-932.
7. Davidson, J. E. H., D. F. Hendry, F. Srba and S. Yeo (1978), 'Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom', Economic Journal, 88, 661-692.
8. Reprinted in Hendry, D. F. (1993), Econometrics: Alchemy or Science? Blackwell, Oxford.
9. Doornik, J. A. and D. F. Hendry (1994), PcFiml 8: An Interactive Program for Modelling Econometric Systems, International Thomson Publishing, London.
10. Fama, E. F. and K. R. French (1988), 'Permanent and temporary components of stock prices', Journal of Political Economy, 96(2), 246-273.
11. Hendry, D. F. and M. P. Clements (1994a), 'Can econometrics improve economic forecasting?' Swiss Journal of Economics and Statistics, 130, 267-298.
12. Hendry, D. F. and M. P. Clements (1994b), 'On a theory of intercept corrections in macro-economic forecasting', in S. Holly (ed.), Money, Inflation and Employment: Essays in Honour of James Ball, pp. 160-182, Edward Elgar, Aldershot.
13. Hendry, D. F. and G. E. Mizon (1993), 'Evaluating dynamic econometric models by encompassing the VAR', in P. C. B. Phillips (ed.), Models, Methods and Applications of Econometrics, pp. 272-300, Blackwell, Oxford.
14. Johansen, S. (1988), 'Statistical analysis of cointegration vectors', Journal of Economic Dynamics and Control, 12, 231-254.
15. Johansen, S. (1994), 'The role of the constant and linear terms in cointegration analysis of nonstationary variables', Econometric Reviews, 13, 205-229.
16. Klein, L. R. (1971), An Essay on the Theory of Economic Prediction, Markham Publishing Company, Chicago.
17. Mizon, G. E. (1995), 'Progressive modelling of macroeconomic time series: the LSE methodology', in K. D. Hoover (ed.), Macroeconometrics: Developments, Tensions and Prospects, Kluwer Academic Press, Dordrecht.
18. Theil, H. (1961), Economic Forecasts and Policy, 2nd edition, North-Holland, Amsterdam.
19. Turner, D. S. (1990), 'The role of judgement in macroeconomic forecasting', Journal of Forecasting, 9, 315-345 .
20. Wallis, K. F. and J. D. Whitley (1991), 'Sources of error in forecasts and expectations: U.K. economic models 1984-8', Journal of Forecasting, 10, 231-253.