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Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics

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  • David Hendry

Abstract

We consider three 'cases studies' of the uses and mis-uses of mathematics in economics and econometrics.� The first concerns economic forecasting, where a mathematical analysis is essential, and is independent of the specific forecasting model and how the process being forecast behaves.� The second concerns model selection with more candidate variables than the number of observations.� Again, an understanding of the properties of extended general-to-specific procedures is impossible without advanced mathematical analysis.� The third concerns inter-temporal optimization and the formation of 'rational expectations', where misleading results follow from present mathematical approaches for realistic economies.� The appropriate mathematics remains to be developed, and may end 'problem specific' rather than generic.

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Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 530.

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Date of creation: 01 Feb 2011
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Handle: RePEc:oxf:wpaper:530

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Keywords: Economic forecasting; structural breaks; model selection; expectations; impulse-indicator saturation; mathematical analyses;

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