The 2003 Nobel Memorial Prize in Economics: Analyzing Data with Irregular Trends and Volatility
Financial analysts and policy makers use the statistical tools developed by Engle and Granger to forecast trends in highly volatile economic data.
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Many economic data series rise and fall around an established point or vary in highly predictable ways. But some economic series do not "behave." The data may be extremely volatile at one point in time, then vary hardly at all for a while. They may trend upward or downward without returning to a single point. Such data cannot be analyzed with conventional statistical tools.