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Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts

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  • David Hendry
  • Michael P. Clements

Abstract

This chapter describes the issues confronting any realistic context for economic forecasting, which is inevitably based on unknowingly mis-specified models, usually estimated from mis-measured data, facing intermittent and often unanticipated location shifts.� We focus on mitigating the systematic forecast failures that result in such settings, and describe the background to our approach, the difficulties of evaluating forecasts, and the devices that are more robust when change occurs.

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Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 484.

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Date of creation: 01 May 2010
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Handle: RePEc:oxf:wpaper:484

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Keywords: Economic forecasting; Location shifts; Mis-specified models; Robust forecasts;

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