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A framework for economic forecasting

Author

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  • NEIL R. ERICSSON
  • JAIME MARQUEZ

Abstract

This 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 US 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.

Suggested Citation

  • Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 228-266.
    • Handle: RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c228-c266
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    Cited by:

    1. Neil R. Ericsson, 2000. "Predictable uncertainty in economic forecasting," International Finance Discussion Papers 695, Board of Governors of the Federal Reserve System (U.S.).
    2. Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers 697, Board of Governors of the Federal Reserve System (U.S.).
    3. Andrew B. Martinez & Neil R. Ericsson, 2025. "Improving empirical models and forecasts with saturation-based machine learning," Annals of Operations Research, Springer, vol. 346(1), pages 447-487, March.
    4. Jenny X. Li & Peter Winker, 2003. "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Springer;Society for Computational Economics, vol. 21(1_2), pages 23-43, February.
    5. Guillaume Chevillon, 2007. "Direct Multi‐Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
    6. Daniel Wilson, 2003. "Embodying Embodiment in a Structural, Macroeconomic Input-Output Model," Economic Systems Research, Taylor & Francis Journals, vol. 15(3), pages 371-398.
    7. Ericsson Neil R., 2008. "Comment on "Economic Forecasting in a Changing World" (by Michael Clements and David Hendry)," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-18, October.
    8. Clements, Michael P. & Galvão, 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(4), pages 567-585, September.
    9. John W. Galbraith, 1999. "Content Horizons For Forecasts Of Economic Time Series," Departmental Working Papers 1999-01, McGill University, Department of Economics.

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