Toward a Theory of Evaluating Predictive Accuracy

Kunst, Robert M. and Jumah, Adusei (November 2004) Toward a Theory of Evaluating Predictive Accuracy. IHS Economics Series 162

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Abstract or Table of Contents

Abstract: We suggest a theoretical basis for the comparative evaluation of forecasts. Instead of the general assumption that the data is generated from a stochastic model, we classify three stages of prediction experiments: pure non-stochastic prediction of given data, stochastic prediction of given data, and double stochastic simulation. The concept is demonstrated using an empirical example of UK investment data.;

Item Type: IHS Series
Keywords: 'Forecasting' 'Time series' 'Investment'
Classification Codes (e.g. JEL): C22, C53, E27
Status: Published
Date Deposited: 26 Sep 2014 10:38
Last Modified: 22 Jul 2017 17:57
URI: http://irihs.ihs.ac.at/id/eprint/1601

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