Location of Repository

Economic forecasting in a changing world

By Michael P. Clements and David F. Hendry

Abstract

This article explains the basis for a theory of economic forecasting developed over the past decade by the authors. The research has resulted in numerous articles in academic journals, two monographs, Forecasting Economic Time Series, 1998, Cambridge University Press, and Forecasting Nonstationary Economic Time Series, 1999, MIT Press, and three edited volumes, Understanding Economic Forecasts, 2001, MIT Press, A Companion to Economic Forecasting, 2002, Blackwells, and the Oxford Bulletin of Economics and Statistics, 2005. The aim here is to provide an accessible, non-technical, account of the main ideas. The interested reader is referred to the monographs for derivations, simulation evidence, and further empirical illustrations, which in turn reference the original articles and related material, and provide bibliographic perspective

Topics: HB
Publisher: Berkeley Electronic Press
Year: 2008
OAI identifier: oai:wrap.warwick.ac.uk:890

Suggested articles

Preview

Citations

  1. (1982). Autoregressiveconditional heteroscedasticity, with estimates of the variance of United Kingdom inflation. doi
  2. (1993). Calculating interval forecasts. doi
  3. (2008). Econometric modelling of the aggregate time-series relationship between consumers’ expenditure and income in the United Kingdom. doi
  4. (2007). EconometricModeling: ALikelihoodApproach.
  5. (1995). Econometrics and businesscycleempirics. doi
  6. (1999). Equilibrium-correction versus differencing in macroeconometric forecasting. doi
  7. (2005). Evaluating a model by forecast performance. doi
  8. (2000). Explaining cointegration analysis: Part I. doi
  9. (2001). Explaining cointegration analysis: Part II. doi
  10. (2006). Forecast combinations. doi
  11. (2001). Forecast uncertainty in economic modeling. doi
  12. Forecasting annual UK inflation using an econometric model over 1875–1991. doi
  13. (2002). Forecasting combination and encompassing. doi
  14. (1998). Forecasting Economic Time Series. Cambridge: doi
  15. (2006). Forecasting evaluation. doi
  16. (2001). Forecasting the world economy. doi
  17. Forecasting with breaks. doi
  18. (2007). Forecasting, structural breaks and non-linearities. doi
  19. (1999). ForecastingNon-stationaryEconomicTime Series.
  20. (1986). Generalised autoregressive conditional heteroskedasticity. doi
  21. (2002). Hendry: Economic Forecasting in a Changing World Published by The Berkeley Electronic Press,
  22. (1990). Improvingeconomicforecasts withBayesian vectorautoregression.
  23. (2004). Pooling of forecasts. doi
  24. (2006). Robustifying forecasts from equilibrium-correction models. doi
  25. (2000). The M3-competition: Results, conclusions and implications. doi
  26. (2004). The Nobel Memorial Prize for Clive W.J. doi
  27. (1962). The Structure of Scientific Revolutions. doi
  28. (1997). Thoughtsof a nonmillenarian. doi
  29. (2001). Understanding Economic Forecasts.

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.