An Historical Perspective on Forecast Errors.
Using annual observations on industrial production over the last three centuries, and on GDP over a 100-year period, we seek an historical perspective on the forecastability of these UK output measures. The series are dominated by strong upward trends, so we consider various specifications of this,...
| Asıl Yazarlar: | , |
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| Materyal Türü: | Journal article |
| Dil: | English |
| Baskı/Yayın Bilgisi: |
2001
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| _version_ | 1826263765720498176 |
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| author | Clements, M Hendry, D |
| author_facet | Clements, M Hendry, D |
| author_sort | Clements, M |
| collection | OXFORD |
| description | Using annual observations on industrial production over the last three centuries, and on GDP over a 100-year period, we seek an historical perspective on the forecastability of these UK output measures. The series are dominated by strong upward trends, so we consider various specifications of this, including the local linear trend structural times-series model, which allows the level and slope of the trend to vary. Our results are not unduly sensitive to how the trend in the series is modelled: the average sizes of the forecast errors of all models, and the wide span of prediction intervals, attests to a great deal of uncertainty in the economic environment. It appears that, from an historical perspective, the postwar period has been relatively more forecastable. |
| first_indexed | 2024-03-06T19:57:03Z |
| format | Journal article |
| id | oxford-uuid:25f8e5b0-ff56-46f1-b645-0291a7015b57 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T19:57:03Z |
| publishDate | 2001 |
| record_format | dspace |
| spelling | oxford-uuid:25f8e5b0-ff56-46f1-b645-0291a7015b572022-03-26T11:58:26ZAn Historical Perspective on Forecast Errors.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:25f8e5b0-ff56-46f1-b645-0291a7015b57EnglishDepartment of Economics - ePrints2001Clements, MHendry, DUsing annual observations on industrial production over the last three centuries, and on GDP over a 100-year period, we seek an historical perspective on the forecastability of these UK output measures. The series are dominated by strong upward trends, so we consider various specifications of this, including the local linear trend structural times-series model, which allows the level and slope of the trend to vary. Our results are not unduly sensitive to how the trend in the series is modelled: the average sizes of the forecast errors of all models, and the wide span of prediction intervals, attests to a great deal of uncertainty in the economic environment. It appears that, from an historical perspective, the postwar period has been relatively more forecastable. |
| spellingShingle | Clements, M Hendry, D An Historical Perspective on Forecast Errors. |
| title | An Historical Perspective on Forecast Errors. |
| title_full | An Historical Perspective on Forecast Errors. |
| title_fullStr | An Historical Perspective on Forecast Errors. |
| title_full_unstemmed | An Historical Perspective on Forecast Errors. |
| title_short | An Historical Perspective on Forecast Errors. |
| title_sort | historical perspective on forecast errors |
| work_keys_str_mv | AT clementsm anhistoricalperspectiveonforecasterrors AT hendryd anhistoricalperspectiveonforecasterrors AT clementsm historicalperspectiveonforecasterrors AT hendryd historicalperspectiveonforecasterrors |