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Econometric Modelling of Changing Time Series

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  • David Hendry
  • Grayham E. Mizon

Abstract

We model expenditure on food in the USA, using an extended time series.� Even when a theory is essentially 'correct', it can manifest serious mis-specification if just fitted to data, ignoring its observed characteristics and major external events such as wars, recessions and policy changes.� When the same theory is embedded in a general framework embracing dynamics and structural breaks, it performs well even over an extended data period, as shown using Autometrics with impulse-indicator saturation.� Although this particular illustration involves a simple theory, the point made is generic, and applies no matter how sophisticated the theory.

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Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 475.

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Date of creation: 01 Jan 2010
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Handle: RePEc:oxf:wpaper:475

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Keywords: Econometric modelling; Food expenditure; Structural breaks; Impulse-indicator saturation; Autometrics;

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