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Predictable uncertainty in economic forecasting

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  • Neil R. Ericsson

Abstract

This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty are illustrated by several analytical models, including static and dynamic models, and single-equation and multiple-equation models. Empirical models of the U.S. trade account, U.K. inflation, and U.K. real national income help clarify the issues involved.

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File URL: http://www.federalreserve.gov/pubs/ifdp/2000/695/default.htm
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File URL: http://www.federalreserve.gov/pubs/ifdp/2000/695/ifdp695.pdf
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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 695.

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Date of creation: 2000
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Handle: RePEc:fip:fedgif:695

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Keywords: Forecasting ; Econometrics ; Econometric models;

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  2. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  3. Ericsson, Neil R., 1992. "Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 465-495, August.
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  7. Neil R. Ericsson, 1991. "Cointegration, exogeneity, and policy analysis: an overview," International Finance Discussion Papers 415, Board of Governors of the Federal Reserve System (U.S.).
  8. Hendry, David F, 1988. "The Encompassing Implications of Feedback versus Feedforward Mechanisms in Econometrics," Oxford Economic Papers, Oxford University Press, vol. 40(1), pages 132-49, March.
  9. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.).
  10. Ericsson, Neil R & Marquez, Jaime, 1993. "Encompassing the Forecasts of U.S. Trade Balance Models," The Review of Economics and Statistics, MIT Press, vol. 75(1), pages 19-31, February.
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  12. Chong, Yock Y & Hendry, David F, 1986. "Econometric Evaluation of Linear Macro-Economic Models," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 671-90, August.
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  14. Campos, Julia, 1992. "Confidence intervals for linear combinations of forecasts from dynamic econometric models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 535-560, August.
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Cited by:
  1. Raffaella Giacomini & Halbert White, 2003. "Tests of Conditional Predictive Ability," Econometrics 0308001, EconWPA.

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