Modelling our Changing World

This open access book focuses on the concepts, tools and techniques needed to successfully model ever-changing time-series data. It emphasizes the need for general models to account for the complexities of the modern world and how these can be applied to

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Modelling our Changing World Jennifer L. Castle David F. Hendry

Palgrave Texts in Econometrics

Series Editor Michael P. Clements Henley Business School University of Reading Reading, UK Founding Editors Kerry Patterson Department of Economics University of Reading Reading, UK Terence Mills School of Business and Economics Loughborough University UK

This is a series of themed books in econometrics, where the subject is interpreted as including theoretical developments, applied econometrics and more specialized fields of application, for example financial econometrics, the econometrics of panel data sets, forecasting and so on. Each book in the series is directed to particular aspects of the underlying and unifying theme.

More information about this series at http://www.palgrave.com/gp/series/14078

Jennifer L. Castle David F. Hendry •

Modelling our Changing World

Jennifer L. Castle Magdalen College University of Oxford Oxford, UK

David F. Hendry Nuffield College University of Oxford Oxford, UK

Additional material to this book can be downloaded from http://extras.springer.com. Palgrave Texts in Econometrics ISBN 978-3-030-21431-9 ISBN 978-3-030-21432-6 https://doi.org/10.1007/978-3-030-21432-6

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© The Editor(s) if applicable and The Author(s) 2019. This book is an open access publication. Open Access This book is licensed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made. The images or other third party material in this book are included in the book’s Creative Commons license, unless indicated otherwise in a credit line to the material. If material is not included in the book’s Creative Commons license and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, expressed or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. This Palgrave Pivot imprint is published by the registered company Springer Nature Switzerland AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Swi