Economic Forecasting: Some Lessons from Recent Research

By David F. Hendry, Michael P. Clements. Social Science Research Network, 2003

208 citations recorded by the source corpus.

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.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/7b5b9c72e7a17ff824a131b0deb4d0fc74c735b2

Citations in the corpus

• Pooling of Forecasts (2004, unknown): “This can be traced back at least to Rosenblatt (1952), with recent contributions by Shephard (1994), Kim et al. (1998) and Diebold et al. (1998), inter alia.”