Journal article
A novel approach to forecasting after large forecast errors
- Abstract:
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A sequence of increasingly large same-sign 1-step-ahead forecast errors are most likely due to a sudden unexpected shift. Large forecast errors can be expensive, but also contain valuable information. Impulse indicators acting as intercept corrections to set forecasts back on track can be quickly tested for replacing outliers, a location shift or broken trend, greatly improving forecast accuracy. The analysis is applied to forecasting the UK’s annual consumer price inflation which rose rapidly from mid-2021 to over 9% in 2022 after a series of essentially unpredictable shocks led to large forecast errors by the Bank of England.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Preview, Version of record, pdf, 1.3MB, Terms of use)
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- Publisher copy:
- 10.1002/for.70062
Authors
- Publisher:
- Wiley
- Journal:
- Journal of Forecasting More from this journal
- Volume:
- 45
- Issue:
- 2
- Pages:
- 837-849
- Publication date:
- 2025-10-29
- Acceptance date:
- 2025-10-16
- DOI:
- EISSN:
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1099-131X
- ISSN:
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0277-6693
- Language:
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English
- Keywords:
- Pubs id:
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2300187
- Local pid:
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pubs:2300187
- Deposit date:
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2025-10-17
- ARK identifier:
Terms of use
- Copyright holder:
- Castle et al.
- Copyright date:
- 2025
- Rights statement:
- © 2025 The Author(s). Journal of Forecasting published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
- Licence:
- CC Attribution (CC BY)
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