An Open-model Forecast-error Taxonomy.

An Open-model Forecast-error Taxonomy.

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We develop forecast-error taxonomies when there are unmodeled variables, forecast ‘off-line’. We establish three surprising results. Even when an open system is correctly specified in-sample with zero intercepts, despite known future values of strongly exogenous variables, changes in dynamics can...

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Bibliografiske detaljer
Main Authors:	Hendry, D, Mizon, G
Format:	Working paper
Sprog:	English
Udgivet:	Department of Economics (University of Oxford) 2011

Lignende værker

An open-model forecast-error taxonomy
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Forecasting from Structural Econometric Models.
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Forecasting from structural econometric models
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On Selecting Policy Analysis Models by Forecast Accuracy.
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On Selecting Policy Analysis Models by Forecast Accuracy.
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Unpredictability in economic analysis, econometric modeling and forecasting
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Forecasting in the presence of structural breaks and policy regime shifts
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Forecasting in the Presence of Structural Breaks and Policy Regime Shifts.
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Forecasting in the Presence of Structural Breaks and Policy Regime Shifts.
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Forecasting in the Presence of Structural Breaks and Policy Regime Shifts.
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Udgivet: (2002)

An Historical Perspective on Forecast Errors.
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Reformulating Empirical Macroeconomic Modelling.
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Reformulating Empirical Macroeconometric Modelling.
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Reformulating Empirical Macro-econometric Modelling.
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Udgivet: (2001)

Econometric Modelling of Changing Time Series.
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Udgivet: (2010)

Econometric modelling of changing time series
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Udgivet: (2010)

Econometric Modelling of Time Series with Outlying Observations
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Evaluating Dynamic Econometric Models by Encompassing the VAR.
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Udgivet: (2005)

Evaluating Dynamic Econometric Models by Encompassing the VAR.
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Evaluating Dynamic Econometric Models by Encompassing the VAR.
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On the Limitations of Comparing Mean Square Forecast Errors.
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Udgivet: (1992)

On the Limitations of Comparing Mean Square Forecast Errors.
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Udgivet: (1999)

Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK.
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Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK.
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Evaluating multi-step system forecasts with relatively few forecast-error observations
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Evaluating multi-step system forecasts with relatively few forecast-error observations
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Model Identification and Non-unique Structure.
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Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England.
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An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification.
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The Pervasiveness of Granger Causality in Econometrics.
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Procrustean Econometrics: Or Stretching and Squeezing Data.
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The Influence of A. W. Phillips on Econometrics.
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An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification.
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On the mathematical basis of inter-temporal optimization.
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Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England.
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Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England.
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Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England.
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Procrustean Econometrics: Stretching and Squeezing Data.
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Improving the teaching of econometrics
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Udgivet: (2016)

Improving the teaching of econometrics
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