Estimating the Expected Predictive Accuracy of Econometric Models
نویسندگان
چکیده
منابع مشابه
ESTIMATING THE EXPECTED PREDICTIVE ACCURACY OF ECONOMETRIC MODELS BY RAY C. FAIRI A method is proposed in this paper for estimating the uncertainty of a forecast from an econometric model. The method accounts for the four main sources
A method is proposed in this paper for estimating the uncertainty of a forecast from an econometric model. The method accounts for the four main sources of uncertainty: uncertainty due to (1) the error terms, (2) the coefficient estimates, (3) the exogenous-variable forecasts, and (4) the possible misspecification of the model. It also accounts for the fact that the variances of forecast errors...
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ژورنال
عنوان ژورنال: International Economic Review
سال: 1980
ISSN: 0020-6598
DOI: 10.2307/2526186