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Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts

David Hendry () and Michael Clements

No 484, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: This chapter describes the issues confronting any realistic context for economic forecasting, which is inevitably based on unknowingly mis-specified models, usually estimated from mis-measured data, facing intermittent and often unanticipated location shifts. We focus on mitigating the systematic forecast failures that result in such settings, and describe the background to our approach, the difficulties of evaluating forecasts, and the devices that are more robust when change occurs.

Keywords: Economic forecasting; Location shifts; Mis-specified models; Robust forecasts (search for similar items in EconPapers)
JEL-codes: C51 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-for
Date: 2010-05-01
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