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Evaluating the predictive accuracy of models

In: Handbook of Econometrics

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  • Fair, Ray C.

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  • Fair, Ray C., 1986. "Evaluating the predictive accuracy of models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 33, pages 1979-1995, Elsevier.
  • Handle: RePEc:eee:ecochp:3-33
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    References listed on IDEAS

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    1. George R. Green & Maurice Liebenberg & Albert A. Hirsch, 1972. "Short- and Long-Term Simulations with the OBE Econometric Model," NBER Chapters, in: Econometric Models of Cyclical Behavior, Volumes 1 and 2, pages 25-138, National Bureau of Economic Research, Inc.
    2. Yoel Haitovsky & George Treyz & Vincent Su, 1974. "Forecasts with Quarterly Macroeconomic Models," NBER Books, National Bureau of Economic Research, Inc, number hait74-1, May.
    3. T. Muench & A. Rolnick & N. Wallace, 1974. "Tests for Structural Change and Prediction Intervals for the reduced Forms of Two Structural Models of the U.S.: The FRB-MIT and Michigan Quarterly Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 3, pages 491-519, National Bureau of Economic Research, Inc.
    4. Michael K. Evans & Lawrence R. Klein & Mitsuo Saito & Michael D. McCarthy, 1972. "Short-Run Prediction and Long-Run Simulation of the Wharton Model," NBER Chapters, in: Econometric Models of Cyclical Behavior, Volumes 1 and 2, pages 139-200, National Bureau of Economic Research, Inc.
    5. Fair, Ray C, 1980. "Estimating the Expected Predictive Accuracy of Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 355-378, June.
    6. Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
    7. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
    8. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "Divergences in the results of stochastic and deterministic simulation of an Italian non linear econometric model," MPRA Paper 21287, University Library of Munich, Germany.
    9. Gary Fromm & Lawrence R. Klein & George R. Schink, 1972. "Short- and Long-Term Simulations with the Brookings Model," NBER Chapters, in: Econometric Models of Cyclical Behavior, Volumes 1 and 2, pages 201-310, National Bureau of Economic Research, Inc.
    10. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    11. Gary Fromm & Lawrence R. Klein, 1976. "THE NBER/NSF Model Comparison Seminar: An Analysis of Results," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 1-28, National Bureau of Economic Research, Inc.
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    Cited by:

    1. William L. Helkie & Peter Hooper, 1989. "U.S. external adjustment: progress and prospects," International Finance Discussion Papers 345, Board of Governors of the Federal Reserve System (U.S.).
    2. Neil R. Ericsson & Jaime R. Marquez, 1990. "Evaluating the predictive performance of trade-account models," International Finance Discussion Papers 377, Board of Governors of the Federal Reserve System (U.S.).
    3. Kannika Duangnate & James W. Mjelde, 2020. "Prequential forecasting in the presence of structure breaks in natural gas spot markets," Empirical Economics, Springer, vol. 59(5), pages 2363-2384, November.
    4. Jaime R. Marquez, 1988. "Income and price elasticities of foreign trade flows: econometric estimation and analysis of the U.S. trade deficit," International Finance Discussion Papers 324, Board of Governors of the Federal Reserve System (U.S.).
    5. Covey, Ted & Bessler, David A., 1991. "The Role of Futures in Daily Forward Pricing," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271282, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. Duangnate, Kannika & Mjelde, James W., 2017. "Comparison of data-rich and small-scale data time series models generating probabilistic forecasts: An application to U.S. natural gas gross withdrawals," Energy Economics, Elsevier, vol. 65(C), pages 411-423.
    7. Schellhorn, Martin & Winker, Peter, 1994. "Stochastic simulations of a macroeconomic disequilibrium model for West Germany," Discussion Papers, Series II 235, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    8. Masud Alam, 2021. "Output, Employment, and Price Effects of U.S. Narrative Tax Changes: A Factor-Augmented Vector Autoregression Approach," Papers 2106.10844, arXiv.org.
    9. David F. Hendry & Michael P. Clements, 1994. "Can Econometrics Improve Economic Forecasting?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 267-298, September.
    10. 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.
    11. Peter C.B. Phillips, 1992. "Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy," Cowles Foundation Discussion Papers 1025, Cowles Foundation for Research in Economics, Yale University.

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    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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