Evaluating Econometric Forecasts of Economic and Financial Variables

by Clements, Michael P.

• ISBN13: 9781403941572
• ISBN10: 1403941572
• Format: Paperback
• Copyright: 2005-04-16
• Publisher: Palgrave Macmillan

Summary

In recent years there has been a growing recognition that forecasts of the single most likely outcome of the future value of an economic or financial variable may often be of limited value. A government policy maker or an individual investor would generally be interested in knowing the degree of uncertainty that the forecaster attaches to the point forecast, before deciding whether to increase interest rates or buy a particular share. As a result, it has become increasingly common for producers of forecasts to provide more information on the expected likely ranges of future outcomes, whether in the form of interval forecasts, or by reporting probability distributions. This book describes methods of evaluating such forecasts. Book jacket.

Author Biography

Michael P. Clements is an editor of the International Journal of Forecasting.

Table of Contents

Introduction * Point Forecasts * Volatility Forecasts * Interval Forecasts * Density Forecasts * Decision-based Evaluation * Postscript * Computer Code References

Introduction * Point Forecasts * Volatility Forecasts * Interval Forecasts * Density Forecasts * Decision-based Evaluation * Postscript * Computer Code References