Smooth robust multi-horizon forecasts

Smooth robust multi-horizon forecasts

We investigate whether smooth robust methods for forecasting can help mitigate pronounced and persistent failure across multiple forecast horizons. We demonstrate that naive predictors are interpretable as local estimators of the long-run relationship with the advantage of adapting quickly after a b...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Martinez, AB, Castle, JL, Hendry, DF
Awduron Eraill:	Chudik, A
Fformat:	Journal article
Iaith:	English
Cyhoeddwyd:	Emerald 2022

Eitemau Tebyg

Forecasting principles from experience with forecasting competitions
gan: Castle, JL, et al.
Cyhoeddwyd: (2021)

Econometric forecasting of climate change
gan: Castle, JL, et al.
Cyhoeddwyd: (2024)

Card forecasts for M4
gan: Doornik, JA, et al.
Cyhoeddwyd: (2019)

Short-term forecasting of the coronavirus pandemic
gan: Doornik, JA, et al.
Cyhoeddwyd: (2020)

The value of robust statistical forecasts in the COVID-19 pandemic
gan: Castle, JL, et al.
Cyhoeddwyd: (2021)

Statistical short-term forecasting of the COVID-19 pandemic
gan: Doornik, JA, et al.
Cyhoeddwyd: (2020)

Modeling and forecasting the COVID-19 pandemic time-series data
gan: Doornik, JA, et al.
Cyhoeddwyd: (2021)

Forecasting the UK top 1% income share in a shifting world
gan: Castle, JL, et al.
Cyhoeddwyd: (2024)

Robust approaches to forecasting
gan: Castle, J, et al.
Cyhoeddwyd: (2014)

Robust approaches to forecasting
gan: Castle, J, et al.
Cyhoeddwyd: (2015)

The historical role of energy in UK inflation and productivity and implications for price inflation in 2022
gan: Castle, JL, et al.
Cyhoeddwyd: (2022)

The historical role of energy in UK inflation and productivity with implications for price inflation
gan: Castle, JL, et al.
Cyhoeddwyd: (2023)

Selecting a model for forecasting
gan: Castle, J, et al.
Cyhoeddwyd: (2021)

A smooth horizon without a smooth horizon
gan: Vaibhav Burman, et al.
Cyhoeddwyd: (2024-03-01)

Improving models and forecasts after equilibrium-mean shifts
gan: Castle, J, et al.
Cyhoeddwyd: (2023)

Can the UK achieve net-zero greenhouse gas emissions by 2050?
gan: Castle, JL, et al.
Cyhoeddwyd: (2024)

Automatic selection for non-linear models
gan: Castle, JL, et al.
Cyhoeddwyd: (2011)

Climate econometrics: An overview
gan: Castle, JL, et al.
Cyhoeddwyd: (2020)

Can the UK achieve net-zero greenhouse gas emissions by 2050?
gan: Castle, JL, et al.
Cyhoeddwyd: (2021)

Multi-horizon ternary time series forecasting
gan: Htike@Muhammad Yusof, Zaw Zaw
Cyhoeddwyd: (2013)

Smooth extremal horizons are the exception, not the rule
gan: Gary T. Horowitz, et al.
Cyhoeddwyd: (2025-02-01)

Forecasting breaks and forecasting during breaks.
gan: Castle, J, et al.
Cyhoeddwyd: (2011)

Forecasting breaks and forecasting during breaks
gan: Castle, J, et al.
Cyhoeddwyd: (2011)

Policy analysis, forediction, and forecast failure
gan: Castle, J, et al.
Cyhoeddwyd: (2016)

Forecasting by factors, by variables, or both?
gan: Castle, J, et al.
Cyhoeddwyd: (2012)

A simple quantum test for smooth horizons
gan: Kyriakos Papadodimas, et al.
Cyhoeddwyd: (2020-12-01)

Is the horizon of an eternal black hole really smooth?
gan: Nissan Itzhaki
Cyhoeddwyd: (2023-05-01)

Multi-horizon well performance forecasting with temporal fusion transformers
gan: Eduardo Maldonado-Cruz, et al.
Cyhoeddwyd: (2024-03-01)

Multi-Horizon Air Pollution Forecasting with Deep Neural Networks
gan: Mirche Arsov, et al.
Cyhoeddwyd: (2021-02-01)

Detecting location shifts during model selection by step-indicator saturation
gan: Castle, JL, et al.
Cyhoeddwyd: (2015)

On Not Evaluating Economic Models by Forecast Outcomes.
gan: Castle, J, et al.
Cyhoeddwyd: (2011)

On not evaluating economic models by forecast outcomes
gan: Castle, J, et al.
Cyhoeddwyd: (2011)

On not evaluating economic models by forecast outcomes
gan: Castle, J, et al.
Cyhoeddwyd: (2011)

Multi-Country and Multi-Horizon GDP Forecasting Using Temporal Fusion Transformers
gan: Juan Laborda, et al.
Cyhoeddwyd: (2023-06-01)

Evaluating forecasts, narratives and policy using a test of invariance
gan: Castle, J, et al.
Cyhoeddwyd: (2017)

Unpredictability in economic analysis, econometric modeling and forecasting
gan: Hendry, DF, et al.
Cyhoeddwyd: (2014)

Evaluating multi-step system forecasts with relatively few forecast-error observations
gan: Hendry, D, et al.
Cyhoeddwyd: (2017)

Evaluating multi-step system forecasts with relatively few forecast-error observations
gan: Hendry, D, et al.
Cyhoeddwyd: (2016)

Forecasting an essential introduction
gan: Castle, C, et al.
Cyhoeddwyd: (2019)

Revisiting UK consumers' expenditure: Cointegration, breaks and robust forecasts.
gan: Hendry, D
Cyhoeddwyd: (2011)