Assessing the Forecasting Performance of a Macroeconomic Model
This paper contains a description of a small quarterly forecasting model for the Finnish economy. We evaluate the forecasting properties of the model by means of stochastic simulation involving both the endogenous and exogenous variables of the model. The simulations allow us to identify and quantify the main sources of forecasting uncertainty. We are also able to assess the linearity of the model. Forecasting performance is also analyzed in a conventional way by means of dynamic simulation. The important issue in these simulations is the stability of the model: how simulated values depend on the estimation period and the ordering of time periods.
|Date of creation:||27 Sep 1996|
|Date of revision:|
|Contact details of provider:|| Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland|
Web page: http://www.suomenpankki.fi/en/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hatanaka, Michio, 1978. "On the efficient estimation methods for the macro-economic models nonlinear in variables," Journal of Econometrics, Elsevier, vol. 8(3), pages 323-356, December.
- Brown, Bryan W & Mariano, Roberto S, 1984. "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System," Econometrica, Econometric Society, vol. 52(2), pages 321-43, March.
- Ray C. Fair & John B. Taylor, 1980.
"Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models,"
NBER Technical Working Papers
0005, National Bureau of Economic Research, Inc.
- Fair, Ray C & Taylor, John B, 1983. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 51(4), pages 1169-85, July.
- Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Cowles Foundation Discussion Papers 564, Cowles Foundation for Research in Economics, Yale University.
- Ray C. Fair, 1989. "Does Monetary Policy Matter? Narrative Versus Structural Approaches," NBER Working Papers 3045, National Bureau of Economic Research, Inc.
- Fisher, Paul G. & Wallis, Kenneth F., 1990. "The historical tracking performance of UK macroeconometric models 1978-1985," Economic Modelling, Elsevier, vol. 7(2), pages 179-197, April.
- Pagan, Adrian, 1989. "On the role of simulation in the statistical evaluation of econometric models," Journal of Econometrics, Elsevier, vol. 40(1), pages 125-139, January.
- Brunner, Allan D. & Kamin, Steven B., 1996. "Determinants of the 1991-1993 Japanese recession: Evidence from a structural model of the Japanese economy," Japan and the World Economy, Elsevier, vol. 8(4), pages 363-399, December.
When requesting a correction, please mention this item's handle: RePEc:hhs:bofrdp:1996_023. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Minna Nyman)
If references are entirely missing, you can add them using this form.