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...
| Hoofdauteurs: | , |
|---|---|
| Formaat: | Working paper |
| Taal: | English |
| Gepubliceerd in: |
Department of Economics (University of Oxford)
2011
|
Search Result 1
