Estimation and Forecasting

We illustrate the combination of statistical estimation and forecasting with info-gap robust-satisficing in three examples. In all cases the data are not only statistically random, but also subject to nonrandom info-gaps. Info-gaps in economic data may arise due to delay between the initiation of a systemic change and its manifestation in data. In addition, current best-estimates of economic data are infogap-uncertain because these data may be substantially revised in the future as new information becomes available and new definitions and classifications are adopted. Section 6.1 considers a regression of serial data and the use of that regression to predict the next outcome. Section 6.2 discusses an auto-regression, and section 6.3 studies the confidence interval of the least squares estimate of a variable.