Toward a Theory of Evaluating Predictive Accuracy

Kunst, Robert M.ORCID: and Jumah, Adusei (November 2004) Toward a Theory of Evaluating Predictive Accuracy. Former Series > Working Paper Series > IHS Economics Series 162


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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
Date Deposited: 26 Sep 2014 10:38
Last Modified: 08 Apr 2024 13:32
ISBN: 1605-7996

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