Toward a Theory of Evaluating Predictive Accuracy

Kunst, Robert M. ORCID: https://orcid.org/0000-0001-6831-2471 and Jumah, Adusei (November 2004) Toward a Theory of Evaluating Predictive Accuracy. IHS Economics Series 162

[img]
Preview
Text
es-162.pdf

Download (531kB) | Preview

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: 02 Mar 2019 13:54
URI: http://irihs.ihs.ac.at/id/eprint/1601

Actions (login required)

View Item View Item