Clements, Michael P; Hendry, David F - In: Journal of Applied Econometrics 11 (1996) 5, pp. 475-94
Analyses of forecasting that assume a constant, time-invariant data generating process (DGP), and so implicitly rule out structural change or regime shifts in the economy, ignore an aspect of the real world responsible for some of the more dramatic historical episodes of predictive failure. Some...