Economic Forecasting: Some Lessons from Recent Research

David Hendry and Michael Clements

No 2002-W11, Economics Papers from Economics Group, Nuffield College, University of Oxford

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.

Pages: 27 pages
Date: 2001-10-08
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.nuff.ox.ac.uk/economics/papers/2002/w11/DFHMPCLessons.pdf (application/pdf)

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)
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: https://EconPapers.repec.org/RePEc:nuf:econwp:0211

Access Statistics for this paper

More papers in Economics Papers from Economics Group, Nuffield College, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().