Journal article
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
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(Version of record, pdf, 286.5KB)
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(Version of record, pdf, 212.2KB)
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Bibliographic Details
- Publisher:
- Economic & Social Research Institute Publisher's website
- Journal:
- Economic and Social Review Journal website
- Volume:
- 27
- Issue:
- 5
- Publication date:
- 1996-01-01
- ISSN:
-
0012-9984
Item Description
- Language:
- English
- Keywords:
- UUID:
-
uuid:cdd32c72-7739-4409-a368-4e72b428526e
- Local pid:
- oai:economics.ouls.ox.ac.uk:10461
- Deposit date:
- 2011-08-16
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Terms of use
- Copyright holder:
- Economic and Social Review
- Copyright date:
- 1996
- Notes:
- This article has been made available under Creative Commons Attribution-NonCommercial-ShareAlike 1.0 Generic (CC BY-NC-SA 1.0) licence.
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