Predictable Uncertainty in Economic Forecasting

30 Pages Posted: 9 Mar 2001

See all articles by Neil R. Ericsson

Neil R. Ericsson

Board of Governors of the Federal Reserve System

Date Written: December 2000

Abstract

This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty are illustrated by several analytical models, including static and dynamic models, and single-equation and multiple-equation models. Empirical models of the U.S. trade account, U.K. inflation, and U.K. real national income help clarify the issues involved.

Keywords: Econometrics, Economics, Forecasting, Models, Uncertainty

JEL Classification: C1, C53

Suggested Citation

Ericsson, Neil R., Predictable Uncertainty in Economic Forecasting (December 2000). Available at SSRN: https://ssrn.com/abstract=262537 or http://dx.doi.org/10.2139/ssrn.262537

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