Economic forecasting: some lessons from recent research

David F. Hendry () and Michael Peter Clements

No 82, Working Paper Series from European Central Bank

Abstract: This paper describes some recent advances and contributions to our understanding of economic forecasting. The framework we develop helps explain the findings of forecasting competitions and the prevalence of forecast failure. It constitutes a general theoretical background against which recent results can be judged. We compare this framework to a previous formulation, which was silent on the very issues of most concern to the forecaster. We describe a number of aspects which it illuminates, and draw out the implications for model selection. Finally, we discuss the areas where research remains needed to clarify empirical findings which lack theoretical explanations. JEL Classification: C32.

Keywords: Forecasting; structural breaks; model selection; forecast-error taxonomy. (search for similar items in EconPapers)
Date: 2001-11
View list of references View citations in EconPapers

Downloads: (external link)
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp082.pdf (application/pdf)

Related works:
Working Paper: Economic Forecasting: Some Lessons from Recent Research (2001)
Working Paper: Economic Forecasting: Some Lessons from Recent Research (2002)
Working Paper: Economic Forecasting: Some Lessons from Recent Research (2001)
Journal Article: Economic forecasting: some lessons from recent research (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ecb:ecbwps:20010082

Ordering information: This working paper can be ordered from
Press and Information Division, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank
Address: Postfach 16 03 19, Frankfurt am Main, Germany
Contact information at EDIRC.
Series data maintained by Official Publications ().