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Journal article

Forecasting Economic Processes.

Abstract:

When the assumption of constant parameters fails, the in-sample fit of a model may be a poor guide to ex-ante forecast performance. We expound a number of models, methods, and procedures that illustrate the impacts of structural breaks on forecast accuracy, and evaluate ways of improving forecast performance. We argue that a theory of economic forecasting which allows for model mis-specification and structural breaks is feasible, and may provide a useful basis for interpreting and circumventi...

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Publication status:
Published
Peer review status:
Peer reviewed

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Files:
  • (Accepted manuscript, pdf, 317.6KB)
Publisher copy:
10.1016/S0169-2070(97)00057-5

Authors


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Institution:
University of Oxford
Role:
Author
More from this funder
Funding agency for:
Hendry, D
Grant:
L116251015
Publisher:
Elsevier
Journal:
International Journal of Forecasting Journal website
Volume:
14
Issue:
1
Pages:
111 - 131
Publication date:
1998-01-01
DOI:
ISSN:
0169-2070
Language:
English
UUID:
uuid:7591dc68-780d-4907-91ac-88bdf2aa436d
Local pid:
oai:economics.ouls.ox.ac.uk:10773
Deposit date:
2011-08-16

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