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Chapter 1 Forecasting Annual UK Inflation Using an Econometric Model over 1875–1991

In: Forecasting in the Presence of Structural Breaks and Model Uncertainty

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  • Michael P. Clements
  • David F. Hendry

Abstract

In recent work, we have developed a theory of economic forecasting for empirical econometric models when there are structural breaks. This research shows that well-specified models may forecast poorly, whereas it is possible to design forecasting devices more immune to the effects of breaks. In this chapter, we summarise key aspects of that theory, describe the models and data, then provide an empirical illustration of some of these developments when the goal is to generate sequences of inflation forecasts over a long historical period, starting with the model of annual inflation in the UK over 1875–1991 in Hendry (2001a).

Suggested Citation

  • Michael P. Clements & David F. Hendry, 2008. "Chapter 1 Forecasting Annual UK Inflation Using an Econometric Model over 1875–1991," Frontiers of Economics and Globalization, in: Forecasting in the Presence of Structural Breaks and Model Uncertainty, pages 3-39, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:fegzzz:s1574-8715(07)00201-1
    DOI: 10.1016/S1574-8715(07)00201-1
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