A framework for economic forecasting
AbstractThis paper proposes a tripartite framework of design, evaluation, and post-evaluation analysis for generating and interpreting economic forecasts. This framework's value is illustrated by re-examining mean square forecast errors from dynamic models and nonlinearity biases from empirical forecasts of U.S. external trade. Previous studies have examined properties such as nonlinearity bias and the possible nonmonotonicity and nonexistence of mean square forecast errors in isolation from other aspects of the forecasting process, resulting in inefficient forecasting techniques and seemingly puzzling phenomena. The framework developed reveals how each such property follows from systematically integrating all aspects of the forecasting process.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 626.
Date of creation: 1998
Date of revision:
Other versions of this item:
- NEP-ALL-1998-11-20 (All new papers)
- NEP-ECM-1998-11-23 (Econometrics)
- NEP-ETS-1998-11-20 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, vol. 4(4), pages 323-328.
- Calzolari, Giorgio & Sterbenz, Frederic P, 1986. "Control Variates to Estimate the Reduced Form Variances in Econometric Models," Econometrica, Econometric Society, vol. 54(6), pages 1483-90, November.
- Bianchi, Carlo & Calzolari, Giorgio & Brillet, Jean-Louis, 1987. "Measuring forecast uncertainty : A review with evaluation based on a macro model of the French economy," International Journal of Forecasting, Elsevier, vol. 3(2), pages 211-227.
- Brown, Bryan W. & Mariano, Roberto S., 1989. "Predictors in Dynamic Nonlinear Models: Large-Sample Behavior," Econometric Theory, Cambridge University Press, vol. 5(03), pages 430-452, December.
- Calzolari, Giorgio, 1987. "Forecast Variance in Dynamic Simulation of Simultaneous Equation Models," Econometrica, Econometric Society, vol. 55(6), pages 1473-76, November.
- Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
- Calzolari, Giorgio, 1981. "A Note on the Variance of Ex-Post Forecasts in Econometric Models," Econometrica, Econometric Society, vol. 49(6), pages 1593-95, November.
- Baillie, Richard T, 1981. "Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors," Econometrica, Econometric Society, vol. 49(5), pages 1331-37, September.
- Clements, Michael P. & Galv O, Ana Beatriz C., 2003. "Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 567-585, September.
- Neil R. Ericsson, 2000. "Predictable uncertainty in economic forecasting," International Finance Discussion Papers 695, Board of Governors of the Federal Reserve System (U.S.).
- Jenny X. Li & Peter Winker, 2003.
"Time Series Simulation with Quasi Monte Carlo Methods,"
Society for Computational Economics, vol. 21(1_2), pages 23-43, 02.
- Jenny Li & Peter Winker, 2003. "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Society for Computational Economics, vol. 21(1), pages 23-43, February.
- Li, J.X. & Winker, P., 2000. "Time Series Simulation With Quasi Monte Carlo Methods," Papers 9-00-1, Pennsylvania State - Department of Economics.
- Peter Winker & Jenny Li, 2000. "Time Series Simulation With Quasi-Monte Carlo Methods," Computing in Economics and Finance 2000 151, Society for Computational Economics.
- John Galbraith, 1999.
"Content Horizons for Forecasts of Economic Time Series,"
CIRANO Working Papers
- John W. Galbraith, 1999. "Content Horizons For Forecasts Of Economic Time Series," Departmental Working Papers 1999-01, McGill University, Department of Economics.
- Guillaume Chevillon, 2005.
"Direct multi-step estimation and forecasting,"
Documents de Travail de l'OFCE
2005-10, Observatoire Francais des Conjonctures Economiques (OFCE).
- Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers 697, Board of Governors of the Federal Reserve System (U.S.).
- Daniel Wilson, 2003.
"Embodying Embodiment in a Structural, Macroeconomic Input-Output Model,"
Economic Systems Research,
Taylor & Francis Journals, vol. 15(3), pages 371-398.
- Daniel J. Wilson, 2001. "Embodying embodiment in a structural, macroeconomic input-output model," Working Paper Series 2001-18, Federal Reserve Bank of San Francisco.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kris Vajs).
If references are entirely missing, you can add them using this form.