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Journal article

Robust approaches to forecasting

Abstract:

We investigate alternative robust approaches to forecasting, using a new class of robust devices, contrasted with equilibrium-correction models. Their forecasting properties are derived facing a range of likely empirical problems at the forecast origin, including measurement errors, impulses, omitted variables, unanticipated location shifts and incorrectly included variables that experience a shift. We derive the resulting forecast biases and error variances, and indicate when the methods are...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

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Publisher copy:
10.1016/j.ijforecast.2014.11.002

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Department:
Oxford, SSD, Economics
Clements, MP More by this author
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Department:
Oxford, SSD, Economics, EMOD
Publisher:
Elsevier Publisher's website
Journal:
International Journal of Forecasting Journal website
Volume:
31
Issue:
1
Pages:
99-112
Publication date:
2015
DOI:
ISSN:
0169-2070
Pubs id:
pubs:500993
URN:
uri:e292702d-7c39-49de-8696-d9b893123ff7
UUID:
uuid:e292702d-7c39-49de-8696-d9b893123ff7
Local pid:
pubs:500993
Keywords:

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