Search Results - subject:"Location shifts"

Hendry, David; Doornik, Jurgen A.; Pretis, Felix - Department of Economics, Oxford University - 2013

(IIS), we consider selecting significant step indicators from a saturating set to capture location shifts. The approximate … under the null, and show rejections when location shifts occur, improving in non-null rejection frequency compared to the …

Persistent link: https://www.econbiz.de/10011004445

Some Fallacies in Econometric Modelling of Climate Change

Hendry, David; Pretis, Felix - Department of Economics, Oxford University - 2013

We demonstrate major flaws in the statistical analysis of Beenstock, Reingewertz and Paldor (2012), discrediting their initial claims as to the different degrees integrability of CO2 and temperature.

Persistent link: https://www.econbiz.de/10010612979

Forecasting from Structural Econometric Models

Hendry, David; Mizon, Grayham E. - Department of Economics, Oxford University - 2012

Understanding the workings of whole economies is essential for sound policy advice - but not necessarily for accurate forecasts. Structural models play a major role at most central banks and many other governmental agencies, yet almost none forecast the financial crisis and ensuing...

Persistent link: https://www.econbiz.de/10011004235

The impact of integrated measurement errors on modeling long-run macroeconomic time series

Duffy, James A.; Hendry, David F. - In: Econometric reviews 36 (2017) 6/9, pp. 568-587

Persistent link: https://www.econbiz.de/10011795283

An Open-model Forecast-error Taxonomy

Hendry, David; Mizon, Grayham E. - Department of Economics, Oxford University - 2011

We develop forecast-error taxonomies when there are unmodeled variables, forecast 'off-line'. We establish three surprising results. Even when an open system is correctly specified in-sample with zero intercepts, despite known future values of strongly exogenous variables, changes in...

Persistent link: https://www.econbiz.de/10009140895

Multistep forecasting in the presence of location shifts

Chevillon, Guillaume - In: International journal of forecasting 32 (2016) 1, pp. 121-137

Persistent link: https://www.econbiz.de/10011596486

Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts

Hendry, David; Clements, Michael P. - Department of Economics, Oxford University - 2010

unanticipated location shifts. We focus on mitigating the systematic forecast failures that result in such settings, and describe …

Persistent link: https://www.econbiz.de/10008513362

Climate Change: Lessons for our Future from the Distant Past

Hendry, David - Department of Economics, Oxford University - 2010

We consider information from many sciences bearing on the causes and consequences of climate change, focusing on lessons from past mass extinctions of life on Earth. The increasing atmospheric levels of the main greenhouse gases are now established, as is their source in human activity. ...

Persistent link: https://www.econbiz.de/10008467172

Model Selection in Under-specified Equations Facing Breaks

Hendry, David; Castle, Jennifer L. - Department of Economics, Oxford University - 2010

' non-constant intercepts induced by location shifts in omitted variables, which surprisingly leave slope parameters … unaltered even when correlated with included variables. However, location shifts in included variables do induce changes in … mitigate the adverse impacts of induced location shifts on non-constant intercepts and equation standard errors. …

Persistent link: https://www.econbiz.de/10008690102

Robust approaches to forecasting

Castle, Jennifer; Clements, Michael P.; Hendry, David F. - In: International journal of forecasting 31 (2015) 1, pp. 99-112

Persistent link: https://www.econbiz.de/10011327440