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Interpreting estimates of forecast bias

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  • Ericsson, Neil R.

Abstract

This paper resolves differences in results and interpretation between Ericsson’s (2017) and Gamber and Liebner’s (2017) assessments of forecasts of U.S. gross federal debt. As Gamber and Liebner (2017) discuss, heteroscedasticity could explain the empirical results in Ericsson (2017). However, the combined evidence in Ericsson (2017) and Gamber and Liebner (2017) supports the interpretation that these forecasts have significant time-varying biases. Both Ericsson (2017) and Gamber and Liebner (2017) advocate using impulse indicator saturation in empirical modeling.

Suggested Citation

  • Ericsson, Neil R., 2017. "Interpreting estimates of forecast bias," International Journal of Forecasting, Elsevier, vol. 33(2), pages 563-568.
  • Handle: RePEc:eee:intfor:v:33:y:2017:i:2:p:563-568
    DOI: 10.1016/j.ijforecast.2017.01.001
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    References listed on IDEAS

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    1. Felix Pretis & Lea Schneider & Jason E. Smerdon & David F. Hendry, 2016. "Detecting Volcanic Eruptions In Temperature Reconstructions By Designed Break-Indicator Saturation," Journal of Economic Surveys, Wiley Blackwell, vol. 30(3), pages 403-429, July.
    2. Marczak, Martyna & Proietti, Tommaso, 2016. "Outlier detection in structural time series models: The indicator saturation approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 180-202.
    3. Ericsson, Neil R., 2017. "How biased are U.S. government forecasts of the federal debt?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 543-559.
    4. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Felix Pretis, 2015. "Detecting Location Shifts during Model Selection by Step-Indicator Saturation," Econometrics, MDPI, Open Access Journal, vol. 3(2), pages 1-25, April.
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    6. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2012. "Model selection when there are multiple breaks," Journal of Econometrics, Elsevier, vol. 169(2), pages 239-246.
    7. Søren Johansen & Bent Nielsen, 2016. "Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 374-381, June.
    8. Carlos Santos & David Hendry & Soren Johansen, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 317-335, April.
    9. Søren Johansen & Bent Nielsen, 2013. "Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 1-18, May.
    10. Christophe Bontemps & Grayham E. Mizon, 2008. "Encompassing: Concepts and Implementation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 721-750, December.
    11. Gamber, Edward N. & Liebner, Jeffrey P., 2017. "Comment on “How Biased are US Government Forecasts of the Federal Debt?”," International Journal of Forecasting, Elsevier, vol. 33(2), pages 560-562.
    12. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    13. Ericsson, Neil R., 2016. "Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis," International Journal of Forecasting, Elsevier, vol. 32(2), pages 571-583.
    14. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-692, December.
    15. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    16. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-678, May.
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