Economic forecasting: some lessons from recent research

Michael Clements and David Hendry

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: forecast-error taxonomy; forecasting; model selection; structural breaks (search for similar items in EconPapers)
Date: 2001-11
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Citations: View citations in EconPapers (25)

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Related works:
Journal Article: Economic forecasting: some lessons from recent research (2003)
Working Paper: Economic Forecasting: Some Lessons from Recent Research (2002)
Working Paper: Economic Forecasting: Some Lessons from Recent Research (2001)
Working Paper: Economic Forecasting: Some Lessons from Recent Research (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:200182

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