Robust approaches to forecasting

We investigate alternative robust approaches to forecasting, using a new class of robust devices, contrasted with equilibrium correction models. Their forecasting properties are derived facing a range of likely empirical problems at the forecast origin, including measurement errors, implulses, omit...

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Bibliographic Details
Main Authors: Castle, J, Hendry, D, Clements, M
Format: Working paper
Published: University of Oxford 2014