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...
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| Format: | Working paper |
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University of Oxford
2012
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| _version_ | 1826286398996480000 |
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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 | 2024-03-07T01:43:10Z |
| format | Working paper |
| id | oxford-uuid:97879f5a-9a07-4982-88ce-00c387dbf385 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T01:43:10Z |
| publishDate | 2012 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:97879f5a-9a07-4982-88ce-00c387dbf3852022-03-27T00:00:24ZForecasting from structural econometric modelsWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:97879f5a-9a07-4982-88ce-00c387dbf385Bulk import via SwordSymplectic ElementsUniversity of Oxford2012Hendry, 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 |