IDEAS home Printed from https://ideas.repec.org/a/ecj/econjl/v107y1997i444p1330-57.html
   My bibliography  Save this article

The Econometrics of Macroeconomic Forecasting

Author

Listed:
  • Hendry, David F

Abstract

When an econometric model coincides with the mechanism generating the data in an unchanging world, the theory of economic forecasting is reasonably well developed. However, less is known about forecasting when model and mechanism differ in a nonstationary and changing world. This paper addresses the basic concepts; the invariance of forecast accuracy measures to isopmorphic model representations; the roles of causal information, parsimony, and collinearity; a reformulated taxonomy of forecast errors; differencing and intercept corrections to robustify forecasts against biases due to shifts in deterministic factors; the removal of structural breaks by cobreaking; and forecasting using leading indicators. Copyright 1997 by Royal Economic Society.

Suggested Citation

  • Hendry, David F, 1997. "The Econometrics of Macroeconomic Forecasting," Economic Journal, Royal Economic Society, vol. 107(444), pages 1330-1357, September.
  • Handle: RePEc:ecj:econjl:v:107:y:1997:i:444:p:1330-57
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0013-0133%28199709%29107%3A444%3C1330%3ATEOMF%3E2.0.CO%3B2-5&origin=bc
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecj:econjl:v:107:y:1997:i:444:p:1330-57. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/resssea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.