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Estimation and Forecasting

In: Info-Gap Economics

Author

Listed:
  • Yakov Ben-Haim

    (The Technion)

Abstract

We illustrate the combination of statistical estimation and forecasting with info-gap robust-satisficing in three examples. In all cases the data are not only statistically random, but also subject to nonrandom info-gaps. Info-gaps in economic data may arise due to delay between the initiation of a systemic change and its manifestation in data. In addition, current best-estimates of economic data are infogap-uncertain because these data may be substantially revised in the future as new information becomes available and new definitions and classifications are adopted. Section 6.1 considers a regression of serial data and the use of that regression to predict the next outcome. Section 6.2 discusses an auto-regression, and section 6.3 studies the confidence interval of the least squares estimate of a variable.

Suggested Citation

  • Yakov Ben-Haim, 2010. "Estimation and Forecasting," Palgrave Macmillan Books, in: Info-Gap Economics, chapter 0, pages 179-210, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-27732-8_6
    DOI: 10.1057/9780230277328_6
    as

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