This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such...

We revisit equilibrium-correction modelling of aggregate real consumers' expenditure in the UK, using Autometrics applied to the data in Davidson, Hendry, Srba and Yeo (DHSY; 1978). The many selection decisions involved in developing viable empirical models are discussed in a setting where there...

The paper considers the sources of forecast errors and their consequences in an evolving economy subject to structural breaks,forecasting from mis-specified, data-based models. A model-free taxonomy of forecast errors highlights that deterministic shifts are a major cause of systematic forecast...