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Unpredictability in Economic Analyis, Econometric Modelling 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. We note the implications of unanticipated shifts for forecasting, economic analyses of efficient markets, inter-temporal derivations, and general-to-specific model selection, tackling o...

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Volume:
551
Series:
Discussion paper series
Publication date:
2011-01-01
URN:
uuid:be79ae2c-8d94-4c52-a490-b0c45d422df5
Local pid:
oai:economics.ouls.ox.ac.uk:15186
Language:
English

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