Robust Approaches to Forecasting

Preprint OPEN
Jennifer Castle ; David Hendry ; Michael P. Clements (2014)
  • Subject: Robust forecasts, Smoothed Forecasting devices, Factor models, GDP forecasts, Location shifts
    • jel: jel:C53 | jel:C51
    arxiv: Physics::Atmospheric and Oceanic Physics

We investigate alternative robust approaches to forecasting, using a new class of robust devices, contrasted with equilibrium correction models. Their forecasting properties are derived facing a range of likely empirical problems at the forecast origin, including measur... View more
  • References (33)
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