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On the constancy of time-series econometric equations

Abstract:

Parameter constancy is a fundamental requirement for empirical models to be useful for forecasting, analysing economic policy, or testing economic theories. However, there are surprises in defining a constant-parameter model, such that models with time-varying coefficients, and expansion of the parameterisation over time are both compatible with constancy, yet unbiased forecasts may not entail a sensible model choice. In-sample tests cannot determine likely post-sample predictive failure. A c...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Publisher's version

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Institution:
University of Oxford
Oxford college:
Nuffield College
Publisher:
Economic & Social Research Institute Publisher's website
Journal:
Economic and Social Review Journal website
Volume:
27
Issue:
5
Publication date:
1996
ISSN:
0012-9984
URN:
uuid:cdd32c72-7739-4409-a368-4e72b428526e
Local pid:
oai:economics.ouls.ox.ac.uk:10461

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