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Economic Forecasting: Some Lessons from Recent Research

  • Hendry, David F

    (University of Oxford)

  • Michael P. Clements

    (University of Warwick)

We describe a general theoretical framework against which recent results in economic forecasting can be judged, including explanations for the findings of forecasting competitions, the prevalence of forecast failure, and the role of causal variables. We compare this framework to a previous formulation which was silent on the very issues of most concern to the forecaster, then describe ten aspects which our approach illuminates, and draw out their implications for model selection. Finally, we discuss ten areas where research is needed to clarify empirical findings that still lack theoretical explanations.

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Paper provided by Royal Economic Society in its series Royal Economic Society Annual Conference 2002 with number 99.

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Date of creation: 29 Aug 2002
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Handle: RePEc:ecj:ac2002:99
Contact details of provider: Postal: Office of the Secretary-General, School of Economics and Finance, University of St. Andrews, St. Andrews, Fife, KY16 9AL, UK
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