Journal article icon

Journal article

The Implications for Econometric Modelling of Forecast Failure.

Abstract:

To reconcile forecast failure with building congruent empirical models, the authors analyze the sources of misprediction. This reveals that an ex ante forecast failure is purely a function of forecast-period events, not determinable from in-sample information. The primary causes are unmodeled shifts in deterministic factors, rather than model misspecification, collinearity, or a lack of parsimony. The authors examine the effects of deterministic breaks on equilibrium-correction mechanisms and...

Expand abstract

Actions


Access Document


Files:
Publisher copy:
doi:10.1111/1467-9485.t01-1-00065

Authors


Publisher:
Blackwell Publishing
Journal:
Scottish Journal of Political Economy
Volume:
44
Issue:
4
Pages:
437 - 461
Publication date:
1997-01-01
DOI:
ISSN:
0036-9292
Language:
English
UUID:
uuid:89767220-7e11-45f1-984a-d9d232727285
Local pid:
oai:economics.ouls.ox.ac.uk:11461
Deposit date:
2011-08-16

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP