A Framework for Economic Forecasting

Posted: 8 Apr 1999

See all articles by Neil R. Ericsson

Neil R. Ericsson

Board of Governors of the Federal Reserve System

Jaime Marquez

Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

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.

JEL Classification: C53, C15

Suggested Citation

Ericsson, Neil R. and Marquez, Jaime, A Framework for Economic Forecasting. Available at SSRN: https://ssrn.com/abstract=156701

Neil R. Ericsson (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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Jaime Marquez

Board of Governors of the Federal Reserve System ( email )

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Washington, DC 20551
United States

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