While there has been a great deal of interest in the modelling of non-linearities and regime shifts in economic time series, there is no clear consensus regarding the forecasting abilities of these models. In this paper we develop a general approach to predict multiple time series subject to...

To forecast at several, say h, periods into the future, a modeller faces two techniques: iterating one-step ahead forecasts (the IMS technique) or directly modeling the relation betwen observations separated by an h-period interval and using it for forecasting (DMS forecasting). It is known that...

To forecast at several, say h, periods into the future, a modeller faces two techniques: iterating one-step ahead forecasts (the IMS technique) or directly modelling the relation between observations separated by an h-period interval and using it for forecasting (DMS forecasting). It is known...

Structural models` inflation forecasts are often inferior to those of naive devices. This chapter theoretically and empirically assesses this for UK annual and quarterly inflation, using the theoretical framework in Clements and Hendry (1998, 1999). Forecasts from equilibrium-correction...

Success in accurately forecasting breaks requires that they are predictable from relevant information available at the forecast origin using an appropriate model form, which can be selected and estimated before the break.  To clarify the roles of these six necessary conditions, we distinguish...

We consider selecting an econometric model when there is uncertainty over both the choice of variables and the occurrence and timing of multiple location shifts.  The theory of general-to-simple (Gets) selection is outlined and its efficacy demonstrated in a new set of simulation experiments...

We model expenditure on food in the USA, using an extended time series.  Even when a theory is essentially 'correct', it can manifest serious mis-specification if just fitted to data, ignoring its observed characteristics and major external events such as wars, recessions and policy changes. ...

The new-Keynesian Phillips curve (NKPC) includes expected future inflation as a major feedforward variable to explain current inflation.  Models of this type are regularly estimated by replacing the expected value by the actual future outcome, then using Instrumental Variables or Generalized...

We consider three 'cases studies' of the uses and mis-uses of mathematics in economics and econometrics.  The first concerns economic forecasting, where a mathematical analysis is essential, and is independent of the specific forecasting model and how the process being forecast behaves.  The...

We study the accuracy of a wide variety of estimators of asset price variation constructed from high-frequency data (so-called "realized measures"), and compare them with a simple "realized variance" (RV) estimator.  In total, we consider almost 400 different estimators, applied to 11 years of...