Unpredictability in Economic Analyis, Econometric Modelling and Forecasting
Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions.� We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated information sets.� We note the implications of unanticipated shifts for forecasting, economic analyses of efficient markets, inter-temporal derivations, and general-to-specific model selection, tackling outliers and non-constancy by impulse-indicator saturation, and contrast the potential success in modeling breaks with the major difficulties confronting forecasting.
|Date of creation:||01 May 2011|
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