Econometric Modelling of Changing Time Series.
We model expenditure on food in the USA, using an extended time series. Even when a theory is essentially ‘correct’, it can manifest serious mis-specification if just fitted to data, ignoring its observed characteristics and major external events such as wars, recessions and policy changes. When the same theory is embedded in a general framework embracing dynamics and structural breaks, it performs well even over an extended data period, as shown using Autometrics with impulse-indicator sat...Expand abstract
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