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Reference: David F. Hendry and Grayham E. Mizon, (2010). Econometric Modelling of Changing Time Series. Department of Economics (University of Oxford).Citable link to this page:


Econometric Modelling of Changing Time Series. Series: Discussion paper series

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.

Bibliographic Details

Issue Date: 2010Identifiers

Urn: uuid:909bfee7-ff47-4a86-8408-c8a4e8123ea7 Item Description

Type: info:eu-repo/semantics/workingPaper;

Language: en


Autor: David F. Hendry - - - Grayham E. Mizon - - - - Bibliographic Details Issue Date: 2010 - Identifiers Urn: uuid:909bfee7-ff47-4a86-



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