HENDRY, David F. - In: Annales d'Economie et de Statistique (2002) 67-68, pp. 21-40
Since forecast failure is due to unanticipated location shifts, 'sensible' agents should adopt 'robust forecasting rules'. In such a non-stationary world, causal variables can dominate non-causal in forecasting, so 'rational expectations' do not have a sound basis: agents cannot know how all...