Clements, Michael P. and Hendry, David F. (2008) Forecasting annual UK inflation using an econometric model over 1875–1991. In: Rapach, David E. and Wohar, Mark E., (eds.) Frontiers of economics and globalization. Bingley, UK: Emerald Group Publishing Limited, pp. 3-39. ISBN 9780444529428

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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.
Official Date:	2008
Dates:	Date Event 2008 Published
Volume:	Vol.3
Number of Pages:	37
Page Range:	pp. 3-39
DOI:	10.1016/S1574-8715(07)00201-1
Status:	Peer Reviewed
Publication Status:	Published
Funder:	ESRC
Grant number:	RES051270035
Related URLs:	Publisher

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