An open-model forecast-error taxonomy

We develop forecast-error taxonomies when there are unmodeled variables, forecast 'off-line'. We establish three surprising results. Even when an open system is correctly specified in-sample with zero intercepts, despite known future values of strongly exogenous variables, changes in dyn...

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Bibliographic Details
Main Authors: Hendry, D, Mizon, G
Format: Working paper
Published: University of Oxford 2011