Forecast Uncertainty in Economic Modeling

24 Pages Posted: 11 Apr 2001

See all articles by Neil R. Ericsson

Neil R. Ericsson

Board of Governors of the Federal Reserve System

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

Ericsson, Neil R., Forecast Uncertainty in Economic Modeling (February 2001). Available at SSRN: https://ssrn.com/abstract=266494 or http://dx.doi.org/10.2139/ssrn.266494

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