We develop forecast-error taxonomies when there are unmodeled variables, forecast 'off-line'.  We establish three surprising results.  Even when an open system is correctly specified in-sample with zero intercepts, despite known future values of strongly exogenous variables, changes in...

We revisit the concept of unpredictability to explore its implications for forecasting strategies in a non-stationary world subject to structural breaks, where model and mechanism differ. Six aspects of the role of unpredictability are distinguished, compounding the four additional mistakes most...