The University of Southampton
University of Southampton Institutional Repository

Reformulating empirical macroeconomic modelling

Reformulating empirical macroeconomic modelling
Reformulating empirical macroeconomic modelling
The policy implications of estimated macro-econometric systems depend on the formulations of their equations, the methodology of empirical model selection and evaluation, the techniques of policy analysis, and their forecast performance. Drawing on recent results in the theory of forecasting, we question the role of 'rational expectations'; criticize a common approach to testing economic theories; show that impulse-response methods of evaluating policy are seriously flawed; and question the mechanistic derivation of forecasts from econometric systems. In their place, we propose that expectations should be treated as instrumental to agents' decisions; discuss a powerful new approach to the empirical modelling of econometric relationships; offer viable alternatives to studying policy implications; and note modifications to forecasting devices that can enhance their robustness to unanticipated structural breaks
0266-903X
138-159
Hendry, D.
56dd4f6a-3d5b-41a5-8585-36b36c731c35
Mizon, G.
2b8353b4-0af4-48db-b552-6867dc1f4583
Hendry, D.
56dd4f6a-3d5b-41a5-8585-36b36c731c35
Mizon, G.
2b8353b4-0af4-48db-b552-6867dc1f4583

Hendry, D. and Mizon, G. (2000) Reformulating empirical macroeconomic modelling. Oxford Review of Economic Policy, 16 (4), 138-159. (doi:10.1093/oxrep/16.4.138).

Record type: Article

Abstract

The policy implications of estimated macro-econometric systems depend on the formulations of their equations, the methodology of empirical model selection and evaluation, the techniques of policy analysis, and their forecast performance. Drawing on recent results in the theory of forecasting, we question the role of 'rational expectations'; criticize a common approach to testing economic theories; show that impulse-response methods of evaluating policy are seriously flawed; and question the mechanistic derivation of forecasts from econometric systems. In their place, we propose that expectations should be treated as instrumental to agents' decisions; discuss a powerful new approach to the empirical modelling of econometric relationships; offer viable alternatives to studying policy implications; and note modifications to forecasting devices that can enhance their robustness to unanticipated structural breaks

Full text not available from this repository.

More information

Published date: 2000

Identifiers

Local EPrints ID: 35029
URI: https://eprints.soton.ac.uk/id/eprint/35029
ISSN: 0266-903X
PURE UUID: 7e6e3366-a3ee-4bfd-ae60-dd6803746d66

Catalogue record

Date deposited: 31 Jul 2006
Last modified: 17 Jul 2017 15:48

Export record

Altmetrics

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of https://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×