An Open-model Forecast-error Taxonomy.
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...
| Main Authors: | , |
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| Format: | Working paper |
| Jezik: | English |
| Izdano: |
Department of Economics (University of Oxford)
2011
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