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Econometric Modelling of Changing Time Series.

Abstract:

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...

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Authors


David F. Hendry More by this author
Grayham E. Mizon More by this author
Volume:
475
Series:
Discussion paper series
Publication date:
2010
URN:
uuid:909bfee7-ff47-4a86-8408-c8a4e8123ea7
Local pid:
oai:economics.ouls.ox.ac.uk:14733
Language:
English

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