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Forecasting annual UK inflation using an econometric model over 1875–1991
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Clements, Michael P. and Hendry, David F. (2008) Forecasting annual UK inflation using an econometric model over 1875–1991. In: Frontiers of economics and globalization. Emerald Group Publishing Limited, Bingley, UK, pp. 3-39. ISBN 9780444529428
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Official URL: http://webcat.warwick.ac.uk/record=b2523691
Abstract
In recent work, we have developed a theory of economic forecasting for empirical econometric models when there are structural breaks. This research shows that well-specified models may forecast poorly, whereas it is possible to design forecasting devices more immune to the effects of breaks. In this chapter, we summarise key aspects of that theory, describe the models and data, then provide an empirical illustration of some of these developments when the goal is to generate sequences of inflation forecasts over a long historical period, starting with the model of annual inflation in the UK over 1875–1991 in Hendry (2001a).
| Item Type: | Book Item |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions |
| Divisions: | Faculty of Social Sciences > Economics |
| Publisher: | Emerald Group Publishing Limited |
| Place of Publication: | Bingley, UK |
| ISBN: | 9780444529428 |
| ISSN: | 15748715 |
| Book Title: | Frontiers of economics and globalization |
| Editor: | Rapach, David E. and Wohar, Mark E. |
| Date: | 2008 |
| Volume: | Vol.3 |
| Number of Pages: | 37 |
| Page Range: | pp. 3-39 |
| Identification Number: | 10.1016/S1574-8715(07)00201-1 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Funder: | ESRC |
| Grant number: | RES051270035 |
| Related URLs: | |
| URI: | http://wrap.warwick.ac.uk/id/eprint/44531 |
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