Accessibility navigation


Modelling methodology and forecast failure

Clements, M. P. ORCID: https://orcid.org/0000-0001-6329-1341 and Hendry, D. F. (2002) Modelling methodology and forecast failure. Econometrics Journal, 5 (2). pp. 319-344. ISSN 1368-423X

Full text not archived in this repository.

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1111/1368-423X.00086

Abstract/Summary

We analyse by simulation the impact of model-selection strategies (sometimes called pre-testing) on forecast performance in both constant-and non-constant-parameter processes. Restricted, unrestricted and selected models are compared when either of the first two might generate the data. We find little evidence that strategies such as general-to-specific induce significant over-fitting, or thereby cause forecast-failure rejection rates to greatly exceed nominal sizes. Parameter non-constancies put a premium on correct specification, but in general, model-selection effects appear to be relatively small, and progressive research is able to detect the mis-specifications.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35217
Publisher:Wiley

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation