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2023 | OriginalPaper | Buchkapitel

3. Econometric Forecasts

verfasst von : Jerzy Witold Wiśniewski

Erschienen in: Forecasting from Multi-equation Econometric Micromodels

Verlag: Springer Nature Switzerland

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Abstract

The subject of the third chapter are the basics of econometric forecasting. Basic concepts used in econometric forecasting are presented. The basic assumptions of the econometric prediction theory and the consequences they are not met are discussed. The procedure of building forecasts based on a one-equation model was characterized. The issues of admissibility of forecasts along with their measures were explained. The issues of testing the accuracy of forecasts were discussed. The specificity of building forecasts based on multi-equation models was presented—the differences in forecasting procedures based on simple, recursive models and systems of interdependent equations were indicated.

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Fußnoten
1
Cf. Pawłowski (1973: 15). The voluntarism of the forecast builder and/or user is ipso facto eliminated.
 
2
Here, the predictor is the empirical function constituting the tool for forecast estimation.
 
3
In practice, residual variance \( {S}_u^2 \) is used as estimator σ2.
 
4
An unacceptable forecast is not always a worthless forecast. If its accuracy deviates slightly from the user’s requirements, it can be used as a "turn signal” for the forecast variable in question. It can allow the user to prepare for the expected direction of the forecast variable formation.
 
5
An expired forecast is understood as such a forecast for which the forecast variable yT realization is known.
 
6
A sequence of expired forecasts should be characterized by a variety of prediction error (ωT) signs and the error moduli magnitudes (|ωT|) smaller than the mean forecast errors (VT).
 
7
This means that in a recursive model, there can be more than one initial (starting) equation. The starting equation is of a simple-model-equation character, just as a detached equation in a system of interdependent equations.
 
Literatur
Zurück zum Zitat Pawłowski Z (1973) Prognozy ekonometryczne. PWN, Warszawa Pawłowski Z (1973) Prognozy ekonometryczne. PWN, Warszawa
Zurück zum Zitat Wiśniewski JW (2019) Autosynchronizacja prognoz w mikromodelu ekonometrycznym o zamkniętym cyklu powiazań. In: Batóg B (ed) Mikroekonometria. Teoria i praktyka. DIFIN, Warszawa, pp 123–147 Wiśniewski JW (2019) Autosynchronizacja prognoz w mikromodelu ekonometrycznym o zamkniętym cyklu powiazań. In: Batóg B (ed) Mikroekonometria. Teoria i praktyka. DIFIN, Warszawa, pp 123–147
Zurück zum Zitat Zeliaś A (1997) Teoria prognozy. PWE, Warszawa Zeliaś A (1997) Teoria prognozy. PWE, Warszawa
Metadaten
Titel
Econometric Forecasts
verfasst von
Jerzy Witold Wiśniewski
Copyright-Jahr
2023
DOI
https://doi.org/10.1007/978-3-031-27492-3_3

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