Forecast Uncertainty in Economic Modeling
24 Pages Posted: 11 Apr 2001
Date Written: February 2001
Abstract
This paper provides an introduction to forecast uncertainty in empirical economic modeling. Forecast uncertainty is defined, various measures of forecast uncertainty are examined, and some sources and consequences of forecast uncertainty are analyzed. Empirical illustrations with the U.S. trade balance, U.K. inflation and real national income, and the U.S./U.K. exchange rate help clarify the issues involved.
Keywords: Econometrics, Economics, Forecasting, Models, Uncertainty.
JEL Classification: C1, C53
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series
By James H. Stock and Mark W. Watson
-
By Marco Aiolfi, Carlos Capistrán, ...
-
Evaluation and Combination of Conditional Quantile Forecasts
-
Optimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions
By Graham Elliott and Allan Timmermann
-
Unit Root Tests are Useful for Selecting Forecasting Models
By Francis X. Diebold and Lutz Kilian
-
Forecast Pooling for Short Time Series of Macroeconomic Variables
