Forecasting UK inflation: the roles of structural breaks and time disaggregation
<p style="text-align:justify;"> Structural models` inflation forecasts are often inferior to those of naive devices. This chapter theoretically and empirically assesses this for UK annual and quarterly inflation, using the theoretical framework in Clements and Hendry (1998, 1999). F...
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| Format: | Working paper |
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Department of Economics
2007
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| _version_ | 1797094235980169216 |
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| author | Castle, J Hendry, D |
| author_facet | Castle, J Hendry, D |
| author_sort | Castle, J |
| collection | OXFORD |
| description | <p style="text-align:justify;"> Structural models` inflation forecasts are often inferior to those of naive devices. This chapter theoretically and empirically assesses this for UK annual and quarterly inflation, using the theoretical framework in Clements and Hendry (1998, 1999). Forecasts from equilibrium-correction mechanisms, built by automatic model selection, are compared to various robust devices. Forecast-error taxonomies for aggregated and time-disaggregated information reveal that the impacts of structural breaks are identical between these, so no gain results, helping interpret the empirical findings. Forecast failures in structural models are driven by their deterministic terms, confirming location shifts as a pernicious cause thereof, and explaining the success of robust devices. </p> |
| first_indexed | 2024-03-07T04:11:18Z |
| format | Working paper |
| id | oxford-uuid:c7e76a15-bb15-4e29-a6b4-1bef728cd755 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T04:11:18Z |
| publishDate | 2007 |
| publisher | Department of Economics |
| record_format | dspace |
| spelling | oxford-uuid:c7e76a15-bb15-4e29-a6b4-1bef728cd7552022-03-27T06:48:37ZForecasting UK inflation: the roles of structural breaks and time disaggregationWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:c7e76a15-bb15-4e29-a6b4-1bef728cd755Symplectic Elements at OxfordDepartment of Economics2007Castle, JHendry, D <p style="text-align:justify;"> Structural models` inflation forecasts are often inferior to those of naive devices. This chapter theoretically and empirically assesses this for UK annual and quarterly inflation, using the theoretical framework in Clements and Hendry (1998, 1999). Forecasts from equilibrium-correction mechanisms, built by automatic model selection, are compared to various robust devices. Forecast-error taxonomies for aggregated and time-disaggregated information reveal that the impacts of structural breaks are identical between these, so no gain results, helping interpret the empirical findings. Forecast failures in structural models are driven by their deterministic terms, confirming location shifts as a pernicious cause thereof, and explaining the success of robust devices. </p> |
| spellingShingle | Castle, J Hendry, D Forecasting UK inflation: the roles of structural breaks and time disaggregation |
| title | Forecasting UK inflation: the roles of structural breaks and time disaggregation |
| title_full | Forecasting UK inflation: the roles of structural breaks and time disaggregation |
| title_fullStr | Forecasting UK inflation: the roles of structural breaks and time disaggregation |
| title_full_unstemmed | Forecasting UK inflation: the roles of structural breaks and time disaggregation |
| title_short | Forecasting UK inflation: the roles of structural breaks and time disaggregation |
| title_sort | forecasting uk inflation the roles of structural breaks and time disaggregation |
| work_keys_str_mv | AT castlej forecastingukinflationtherolesofstructuralbreaksandtimedisaggregation AT hendryd forecastingukinflationtherolesofstructuralbreaksandtimedisaggregation |