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Analyse économétrique et compréhension des erreurs de prévision

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  • Guillaume Chevillon

Abstract

This article presents recent results regarding the econometric approach to economic forecasting. We aim to establish here what constitutes a "good" forecast. A forecast taxonomy helps understand how to obtain forecasts that prove robust to the most detrimental source of error: structural breaks that affect the data generating process. The concepts of accuracy, precision and certainty applied to forecast models show that evaluation criteria are paramount in the model design stage. An empirical application to forecasting French imports of goods and services provides an illustration. JEL codes : E3, E5, G18, G21.

Suggested Citation

  • Guillaume Chevillon, 2005. "Analyse économétrique et compréhension des erreurs de prévision," Revue de l'OFCE, Presses de Sciences-Po, vol. 95(4), pages 327-356.
    • Handle: RePEc:cai:reofsp:reof_095_0327
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    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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