One method of describing the properties of a fitted autoregressive model of order p is to show the p roots that are implied by the lag operator. Considering autoregressive models fitted to 215 US macro series, with lags chosen by either the Bayesian or Schwarz information criteria or Akaike...

This paper examines the evaluation of models claimed to be relevant for policy making purposes. A number of tests are proposed to determine the usefulness of such models in the policy making process. These tests are applied to three empirical examples.

This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains...