ECONOMETRIC FORECASTS FOR 1959

Comparing Information in Forecasts from Econometric Models

The information contained in one model’s forecast compared to that in another can be assessed from a regression of actual values on predicted values from the hvo models. We do this for forecasts of real GNP growth rates for different pairs of models. The models include a structural model (the Fair (1976) model), uariour versions of the vector autoregressive (VAR) model, and various versions of ...

Implication of Bayesian Technique to Improve Econometric Model Forecasts

This study presents the implication of Bayesian technique on simple statistical and econometric forecasting models to improve the forecast performances of the models. We consider a nonlinear, non-stationary time series of household electricity demand to demonstrate the Bayesian implication to statistical techniques. In this forecasting process, the electricity demand is considered a function of...

Economic Methodology and Computability: Implications for The Evaluation of Econometric Forecasts

The accuracy assessment of macroeconomic forecasts based on econometric models for Romania

The forecasts accuracy evaluation became a constant preoccupation of specialists in forecasting, because of the failure of predictions that caused the actual economic crisis. The objective of this research is to model and predict some economic variables corresponding too few macroeconomic blocks for Romanian economy. The forecast method is represented by econometric models. Moreover, the accura...

Choosing Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection

Based on Monte Carlo simulations using both stationary and nonstationary data, a model selection approach which uses the SIC to select a "best" group of forecasts in the context of forecast combination regressions dominates a number of other techniques, including the standard t-statistic approach and the simple averaging rule. Our results are robust across various restricted and unrestricted ve...