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Economic Forecasting: Some Lessons from Recent Research

David Hendry () and Michael Clements

No 99, Royal Economic Society Annual Conference 2002 from Royal Economic Society

Abstract: We describe a general theoretical framework against which recent results in economic forecasting can be judged, including explanations for the findings of forecasting competitions, the prevalence of forecast failure, and the role of causal variables. We compare this framework to a previous formulation which was silent on the very issues of most concern to the forecaster, then describe ten aspects which our approach illuminates, and draw out their implications for model selection. Finally, we discuss ten areas where research is needed to clarify empirical findings that still lack theoretical explanations.

New Economics Papers: this item is included in nep-ecm, nep-ets and nep-lam
Date: 2002-08-29
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Journal Article: Economic forecasting: some lessons from recent research (2003) Downloads
Working Paper: Economic forecasting: some lessons from recent research (2001) Downloads
Working Paper: Economic Forecasting: Some Lessons from Recent Research (2001) Downloads
Working Paper: Economic Forecasting: Some Lessons from Recent Research (2001) Downloads
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