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2023 | OriginalPaper | Chapter

3. Econometric Forecasts

Author : Jerzy Witold Wiśniewski

Published in: Forecasting from Multi-equation Econometric Micromodels

Publisher: 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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previous chapter Multi-Equation Econometric Models

next chapter Forecasting from Simple Econometric Micromodels

Cf. Pawłowski (1973: 15). The voluntarism of the forecast builder and/or user is ipso facto eliminated.

Here, the predictor is the empirical function constituting the tool for forecast estimation.

In practice, residual variance \( {S}_u^2 \) is used as estimator σ².

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.

An expired forecast is understood as such a forecast for which the forecast variable y_T realization is known.

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 (V_T).

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.

Pawłowski Z (1973) Prognozy ekonometryczne. PWN, Warszawa

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

Zeliaś A (1997) Teoria prognozy. PWE, Warszawa

Title: Econometric Forecasts
Author: Jerzy Witold Wiśniewski
Publisher: Springer Nature Switzerland
Book: Forecasting from Multi-equation Econometric Micromodels
Print ISBN: 978-3-031-27491-6

Electronic ISBN: 978-3-031-27492-3

Copyright Year: 2023
DOI: https://doi.org/10.1007/978-3-031-27492-3_3