David Hendry has made major contributions to many areas of economic forecasting. He has developed a taxonomy of forecast errors and a theory of unpredictability that have yielded valuable insights into the nature of forecasting. He has also provided new perspectives on many existing forecast...

Recently, single equation approaches for estimating structural models have become popular in the monetary economics literature. In particular, single-equation Generalized Method Moments estimators have been used for estimating forward-looking models with rational expectations. Two important...

In “Excessive Ambitions," Jon Elster criticizes a wide range of social science aspirations to understand a complicated and evolving reality. Some of his analysis is to the point, but some is flawed, as explained in my comments. Crucially, however, his conclusions on empirical modeling are...

In this paper, we extend the impulse saturation algorithm to a class of dynamic models. We show that the procedure is still correctly sized for stationary AR(1) processes, independently of the number of splits used for sample partitions. We derive theoretical power when there is an additive...

We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the...

The value of selecting the best forecasting model as the basis for empirical economic policy analysis is questioned. When no model coincides with the data generation process, non-causal statistical devices may provide the best available forecasts: examples from recent work include intercept...

Since forecast failure is due to unanticipated large shifts in deterministic factors,'sensible' agents should adopt 'robust forecasting rules'. Unless the model coincides with the generating mechanism, one cannot even prove that causal variables will dominate non-causal in forecasting. In such a...