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Next Dates: - Introduction to QuantLib Development with Luigi Ballabio, September 2 - 4, 2013 - £1700

 

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Log Transformations & Forecasting

May 22, 2012 by Econometrics Beat   Comments (0)

I enjoyed reading the lead article in the latest issue of Empirical Economics, by Helmut Lütkepohl and Fang Xu. It assesses the quality of forecasts obtained from an ARIMA model that is estimated using the levels of the data in question, as opposed to forecasts that are generated from a model estimated from the logarithms of the data. Should we use apply a log transform to time-series data before estimating an ARIMA model or not? Some authors resort to this as a way of...

On the Money View: Perry Mehrling on Keynes's Comeback

May 22, 2012 by Institute for New Economic Thinking   Comments (0)

On the Money View, Perry Mehrling reviews Lance Taylor's book Maynard's Revenge: The Collapse of Free Market Economics. Mehrling suggests that Keynes had it right: "The economy itself is a constantly changing and evolving entity, which means that individuals face epistemic problems of uncertainty, not just risk. In a world like that, historico-institutional methods provide a kind of knowledge that mathematico-statistical methods simply cannot, knowledge to inform individual...