| David Hendry, Nuffield College, Oxford |
| A General Forecast-error Taxonomy |
| Session: C-10-20 Tuesday 15 August 2000 by Hendry, David |
| The paper considers the sources of forecast errors and their consequences in an evolving economy subject to structural breaks,forecasting from mis-specified, data-based models. A model-free taxonomy of forecast errors highlights that deterministic shifts are a major cause of systematic forecast failure. Other sources seem to pose fewer problems. The taxonomy embeds several previous model-based taxonomies for VARs, VECMs, and multi-step estimators, and reveals the stringent requirements that rationality assumptions impose on economic agents. |
| Submitted paper full-text in .pdf |