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...

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Détails bibliographiques
Auteurs principaux: Hendry, D, Mizon, G
Format: Working paper
Langue:English
Publié: Department of Economics (University of Oxford) 2011