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Estimating the Expected Predictive Accuracy of Econometric Models

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  • Fair, Ray C

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  • Fair, Ray C, 1980. "Estimating the Expected Predictive Accuracy of Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 355-378, June.
    • Handle: RePEc:ier:iecrev:v:21:y:1980:i:2:p:355-78
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    References listed on IDEAS

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    1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "Divergences in the results of stochastic and deterministic simulation of an Italian non linear econometric model," MPRA Paper 21287, University Library of Munich, Germany.
    2. Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
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    1. Fair Ray C, 2003. "Bootstrapping Macroeconometric Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-26, December.
    2. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
    3. Fair, Ray C., 1986. "Evaluating the predictive accuracy of models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 33, pages 1979-1995, Elsevier.
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    7. Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
    8. Bianchi, Carlo & Calzolari, Giorgio & Brillet, Jean-Louis, 1987. "Measuring forecast uncertainty : A review with evaluation based on a macro model of the French economy," International Journal of Forecasting, Elsevier, vol. 3(2), pages 211-227.
    9. Mariano, Roberto S, 1985. "Finite-Sample Properties in Stochastic Predictors in Nonlinear Systems : Some Initial Results," The Warwick Economics Research Paper Series (TWERPS) 266, University of Warwick, Department of Economics.
    10. Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
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    12. Brillet, Jean-Louis & Calzolari, Giorgio & Panattoni, Lorenzo, 1986. "Coherent optimal prediction with large nonlinear systems: an example based on a French model," MPRA Paper 29057, University Library of Munich, Germany.
    13. Bianchi, Carlo & Calzolari, Giorgio, 1983. "Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results," MPRA Paper 22657, University Library of Munich, Germany, revised 1983.

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