haku: @author Shiller, R. J. / yhteensä: 11
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| Tekijä: | Fair, R. C. Shiller, R. J. |
| Otsikko: | Comparing information and forecasts from econometric models |
| Lehti: | American Economic Review
1990 : JUN, VOL. 80:3, p. 375-389 |
| Asiasana: | INFORMATION FORECASTING ECONOMETRIC MODELS GROSS NATIONAL PRODUCT |
| Kieli: | eng |
| Tiivistelmä: | Many econometric models are used to forecast economic activity. These models differ in structure and in the data used, and so their forecasts are not perfectly correlated with each other. The information contained in model's forecast compared to that in another can be assessed from a regression of actual values on predicted values from the two models. It was made for forecasts of real GNP growth rates for different pairs of models. The models include a structural model, various versions of the vector autoregressive /VAR/ model, and various versions of a model called autoregressive components /AC/ model. The procedure requires that forecasts make no use of future information. |
SCIMA