We evaluate automatically selecting the relevant variables in an econometric model from a large candidate set.  General-to-specific selection is outlined for a constant model in orthogonal variables, where only one decision is required to select, irrespective of the number of regressors (N T)...

We investigate alternative robust approaches to forecasting, using a new class of robust devices, contrasted with equilibrium correction models.  Their forecasting properties are derived facing a range of likely empirical problems at the forecast origin, including measurement errors, implulses,...

We consider the reasons for nowcasting, how nowcasts can be achieved, and the use and timing of information.  The existence of contemporaneous data such as surveys is a major difference from forecasting, but many of the recent lessons about forecasting remain relevant.  Given the extensive...

Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions.  We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated...

Using an extension of general-to-specific modelling, based on the recent developments of impulse-indicator saturation (IIS), we consider selecting significant step indicators from a saturating set to capture location shifts.  The approximate non-centrality of the test is derived for a variety...

As it is almost 50 years since Phillips (1958), we analyze an historical series on UK wages and their determinants.  Huge changes have occurred over this long run, so congruence is hard to establish: real wages have risen more than 6 fold, and nominal 500 times; laws, technology, wealth...

We evaluate the asymptotic and finite-sample properties of direct multi-step estimation (DMS) for forecasting at several horizons. For forecast accuracy gains from DMS in finite samples, mis-specification and non-stationarity of the DGP are necessary, but when a model is well-specified,...

When breaks occur, equilibrium-correction models (EqCMs) based on cointegration face forecasting problems.  We investigate approaches to alleviate forecast failure following a location shift, including updating, intercept corrections, differencing, and estimating the future impact of an...

Structural models` inflation forecasts are often inferior to those of naive devices. This chapter theoretically and empirically assesses this for UK annual and quarterly inflation, using the theoretical framework in Clements and Hendry (1998, 1999). Forecasts from equilibrium-correction...

Our strategy for automatic selection in potentially non-linear processes is: test for non-linearity in the unrestricted linear formulation; if that test rejects, specify a general model using polynomials, to be simplified to a minimal congruent representation; finally select by encompassing...