Journal article
Unpredictability in economic analysis, econometric modeling and forecasting
- Abstract:
- Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated information sets. The implications of unanticipated shifts for forecasting, economic analyses of efficient markets, conditional expectations, and inter-temporal derivations are described. The potential success of general-to-specific model selection in tackling location shifts by impulse-indicator saturation is contrasted with the major difficulties confronting forecasting.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Preview, Accepted manuscript, 291.4KB, Terms of use)
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- Publisher copy:
- 10.1016/j.jeconom.2014.04.017
Authors
- Publisher:
- Elsevier
- Journal:
- Journal of Econometrics More from this journal
- Volume:
- 182
- Issue:
- 1
- Pages:
- 186-195
- Publication date:
- 2014-04-24
- Acceptance date:
- 2014-01-01
- DOI:
- ISSN:
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0304-4076
- Language:
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English
- Keywords:
- Pubs id:
-
471782
- Local pid:
-
pubs:471782
- Deposit date:
-
2021-08-10
Terms of use
- Copyright holder:
- Elsevier B.V.
- Copyright date:
- 2014
- Rights statement:
- Copyright © 2014 Elsevier B.V. All rights reserved.
- Notes:
-
This is the accepted manuscript version of the article. The final version is available from Elsevier at https://doi.org/10.1016/j.jeconom.2014.04.017
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