Hendry, David F.; Mizon, Grayham E. Unpredictability in economic analysis, econometric modeling and forecasting. (English) Zbl 1311.62193 J. Econom. 182, No. 1, 186-195 (2014). Summary: 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 information sets. The implications of unanticipated shifts for forecasting, economic analyses of efficient markets, conditional expectations, and inter-temporal derivations are described. The potential success of general-to-specific model selection in tackling location shifts by impulse-indicator saturation is contrasted with the major difficulties confronting forecasting. Cited in 4 Documents MSC: 62P20 Applications of statistics to economics 91B82 Statistical methods; economic indices and measures 62M20 Inference from stochastic processes and prediction Keywords:unpredictability; Black swans; distributional shifts; forecast failure; model selection; conditional expectations Software:PcGive PDFBibTeX XMLCite \textit{D. F. Hendry} and \textit{G. E. Mizon}, J. Econom. 182, No. 1, 186--195 (2014; Zbl 1311.62193) Full Text: DOI References: [1] Allen, R. C., The British Industrial Revolution in Global Perspective (2009), Cambridge University Press: Cambridge University Press Cambridge [2] Allen, P. G.; Fildes, R. A., Econometric forecasting strategies and techniques, (Armstrong, J. S., Principles of Forecasting (2001), Kluwer Academic Publishers: Kluwer Academic Publishers Boston), 303-362 [3] Andrews, D. 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