An Historical Perspective on Forecast Errors.
Using annual observations on industrial production over the last three centuries, and on GDP over a 100-year period, we seek an historical perspective on the forecastability of these UK output measures. The series are dominated by strong upward trends, so we consider various specifications of this, including the local linear trend structural times-series model, which allows the level and slope of the trend to vary. Our results are not unduly sensitive to how the trend in the series is modelle...Expand abstract
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