Working paper
An open-model forecast-error taxonomy
- Abstract:
-
We develop forecast-error taxonomies when there are unmodeled variables, forecast 'off-line'. We establish three surprising results. Even when an open system is correctly specified in-sample with zero intercepts, despite known future values of strongly exogenous variables, changes in dynamics can induce forecast failure when they have non-zero means. The additional impact on forecast failure of incorrectly omitting such variables depends only on shifts in their means. With no such shifts,...
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- Publication status:
- Published
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Bibliographic Details
- Publisher:
- University of Oxford Publisher's website
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2011-06-01
- Paper number:
- 552
Item Description
- Keywords:
- Pubs id:
-
1143885
- Local pid:
- pubs:1143885
- Deposit date:
- 2020-12-15
Terms of use
- Copyright date:
- 2011
- Rights statement:
- Copyright 2011 The Author(s)
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