Forecasting from Structural Econometric Models.
Understanding the workings of whole economies is essential for sound policy advice - but not necessarily for accurate forecasts. Structural models play a major role at most central banks and many other governmental agencies, yet almost none forecast the financial crisis and ensuing recession. We f...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
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Department of Economics (University of Oxford)
2012
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| _version_ | 1797075254354378752 |
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| author | Hendry, D Mizon, G |
| author_facet | Hendry, D Mizon, G |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | Understanding the workings of whole economies is essential for sound policy advice - but not necessarily for accurate forecasts. Structural models play a major role at most central banks and many other governmental agencies, yet almost none forecast the financial crisis and ensuing recession. We focus on the problem of forecast failure that has become prominent during and after that crisis, and illustrate its sources and many surprising implications using a simple model. An application to ‘forecasting’ UK GDP over 2008(1)-2011(2) is consistent with our interpretation. |
| first_indexed | 2024-03-06T23:47:50Z |
| format | Working paper |
| id | oxford-uuid:718ec5a2-9920-4902-b03c-22994d23e253 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T23:47:50Z |
| publishDate | 2012 |
| publisher | Department of Economics (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:718ec5a2-9920-4902-b03c-22994d23e2532022-03-26T19:44:21ZForecasting from Structural Econometric Models.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:718ec5a2-9920-4902-b03c-22994d23e253EnglishDepartment of Economics - ePrintsDepartment of Economics (University of Oxford)2012Hendry, DMizon, GUnderstanding the workings of whole economies is essential for sound policy advice - but not necessarily for accurate forecasts. Structural models play a major role at most central banks and many other governmental agencies, yet almost none forecast the financial crisis and ensuing recession. We focus on the problem of forecast failure that has become prominent during and after that crisis, and illustrate its sources and many surprising implications using a simple model. An application to ‘forecasting’ UK GDP over 2008(1)-2011(2) is consistent with our interpretation. |
| spellingShingle | Hendry, D Mizon, G Forecasting from Structural Econometric Models. |
| title | Forecasting from Structural Econometric Models. |
| title_full | Forecasting from Structural Econometric Models. |
| title_fullStr | Forecasting from Structural Econometric Models. |
| title_full_unstemmed | Forecasting from Structural Econometric Models. |
| title_short | Forecasting from Structural Econometric Models. |
| title_sort | forecasting from structural econometric models |
| work_keys_str_mv | AT hendryd forecastingfromstructuraleconometricmodels AT mizong forecastingfromstructuraleconometricmodels |