Journal article

Modelling Methodology and Forecast Failure.

Abstract:: We analyse by simulation the impact of model-selection strategies (sometimes called pre-testing) on forecast performance in both constant- and non-constant-parameter processes. Restricted, unrestricted and selected models are compared when either of the first two might generate the data. We find little evidence that strategies such as general-to-specific induce significant over-fitting, or thereby cause forecast-failure rejection rates to greatly exceed nominal sizes. Parameter non-constancie...
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APA Style

Clements, M., & Hendry, D. (2002). Modelling Methodology and Forecast Failure. Econometrics Journal, 5.

MLA Style

Clements, M., and D. Hendry. “Modelling Methodology and Forecast Failure.” Econometrics Journal, vol. 5, 2002.

Chicago Style

Clements, M, and D Hendry. 2002. “Modelling Methodology and Forecast Failure.” Econometrics Journal 5.
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+ Clements, M More by this author

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+ Hendry, D More by this author

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Bibliographic Details

Journal:: Econometrics Journal More from this journal
Volume:: 5
Publication date:: 2002-01-01
ISSN:: 1368-4221

Item Description

Language:: English
UUID:: uuid:02992b42-a77d-431e-a7b9-70e96f62eb09
Local pid:: oai:economics.ouls.ox.ac.uk:10453
Deposit date:: 2011-08-16

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Copyright date:: 2002

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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