Forecast Failure, Expectations Formation and the Lucas Critique.
Since forecast failure is due to unanticipated deterministic shifts, "sensible" agents should adopt "robust forecasting rules". In such a non-stationary world, causal variables can dominate non-causal in forecasting, so "rational expectations" do not have a sound basis:...
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| Format: | Journal article |
| Language: | English |
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L'INSEE/GENES on behalf of ADRES
2002
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| _version_ | 1826262297378553856 |
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| author | Hendry, D |
| author_facet | Hendry, D |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | Since forecast failure is due to unanticipated deterministic shifts, "sensible" agents should adopt "robust forecasting rules". In such a non-stationary world, causal variables can dominate non-causal in forecasting, so "rational expectations" do not have a sound basis: agents cannot know how all relevant information enters the data density at every point in time. Although econometric models "break down" intermittently, that is not due to the Lucas critique and need not preclude policy analyses. |
| first_indexed | 2024-03-06T19:34:10Z |
| format | Journal article |
| id | oxford-uuid:1e79bf09-46f6-4abd-b9b0-d071d87301ad |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T19:34:10Z |
| publishDate | 2002 |
| publisher | L'INSEE/GENES on behalf of ADRES |
| record_format | dspace |
| spelling | oxford-uuid:1e79bf09-46f6-4abd-b9b0-d071d87301ad2022-03-26T11:16:37ZForecast Failure, Expectations Formation and the Lucas Critique.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:1e79bf09-46f6-4abd-b9b0-d071d87301adEnglishDepartment of Economics - ePrintsL'INSEE/GENES on behalf of ADRES2002Hendry, DSince forecast failure is due to unanticipated deterministic shifts, "sensible" agents should adopt "robust forecasting rules". In such a non-stationary world, causal variables can dominate non-causal in forecasting, so "rational expectations" do not have a sound basis: agents cannot know how all relevant information enters the data density at every point in time. Although econometric models "break down" intermittently, that is not due to the Lucas critique and need not preclude policy analyses. |
| spellingShingle | Hendry, D Forecast Failure, Expectations Formation and the Lucas Critique. |
| title | Forecast Failure, Expectations Formation and the Lucas Critique. |
| title_full | Forecast Failure, Expectations Formation and the Lucas Critique. |
| title_fullStr | Forecast Failure, Expectations Formation and the Lucas Critique. |
| title_full_unstemmed | Forecast Failure, Expectations Formation and the Lucas Critique. |
| title_short | Forecast Failure, Expectations Formation and the Lucas Critique. |
| title_sort | forecast failure expectations formation and the lucas critique |
| work_keys_str_mv | AT hendryd forecastfailureexpectationsformationandthelucascritique |