Today I was reading a recent discussion paper by Neil Ericcson, titled "Economic Forecasting in Theory and Practice: An Interview With David F. Hendry". The interview is to be published in the International Journal of Forecasting.
Here's the abstract:
"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 techniques, including mean square forecast errors, add factors, leading indicators, pooling of forecasts, and multi-step estimation. In addition, David has developed new forecast tools, such as forecast encompassing; and he has improved existing ones, such as nowcasting and robustification to breaks. This interview for the International Journal of Forecasting explores David Hendry’s research on forecasting."
Near the end of the wde-rangng, and thought-provoking, interview David makes the following point:
"Many top econometricians are now involved in the theory of forecasting, including Frank Diebold, Hashem Pesaran, Peter Phillips, Lucrezia Reichlin, Jim Stock, Timo Teräsvirta, KenWallis, and MarkWatson. Their technical expertise as well as their practical forecasting experience is invaluable in furthering the field. A mathematical treatment can help understand economic forecasts, as the taxonomy illustrated. Recent developments are summarized in the books by Hendry and Ericsson (2001), Clements and Hendry (2002), Elliott, Granger, and Timmermann (2006), and Clements and Hendry (2011b). Forecasting is no longer an orphan of the profession."
(My emphasis added; DG)
Neil's interview makes great reading, and I commend it to you.