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Book synopsis

Important aspects of macroeconomic modelling and§forecasting in the presence of non-stationarity are§examined in this book. Three forms of§non-stationarity are assessed: explosive,§structural-break, and unit root non-stationarity.§First, testing for unit-root non-stationarity in the§presence of explosive non-stationarity is considered.§Numerical difficulties are circumvented using§approximations before the finite-sample properties of§the unit-root test are assessed. Secondly the use of§model averaging given non-stationarity is§investigated. While model averaging can provide§competitive forecasts and parameter estimates,§selection is required, and often a single selected§model will perform best. Because averaging does not§avoid the need to select, methods of selection are§discussed. Third, regression models in the presence§of unit-root non-stationarity are estimated. Previous§empirical studies of monetary and fiscal policies§have made little reference to non-stationarity. A§cointegrated§vector-autoregressive model is used to combat this§and evidence for policy interactions is found.

Book details

• Full title: Macroeconomic Modelling and Forecasting Using Non-Stationary Data
• Subtitle: Coping with Different Types of Non-Stationarity to Produce Meaningful and Accurate Economic Results
• Author: J James Reade
• Language: English
• Binding: Paperback
• Number of pages: 244
• EAN: 9783639153156
• ID: 06823828
• Publisher: VDM Verlag Dr. Müller
• Weight: 380 g
• Dimensions: 220 × 150 × 15 mm
• Published: 2009

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