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Forecast uncertainty in economic modeling

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Abstract

This paper provides an introduction to forecast uncertainty in empirical economic modeling. Forecast uncertainty is defined, various measures of forecast uncertainty are examined, and some sources and consequences of forecast uncertainty are analyzed. Empirical illustrations with the U.S. trade balance, U.K. inflation and real national income, and the U.S./U.K. exchange rate help clarify the issues involved.

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  • Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers 697, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgif:697
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    Cited by:

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    2. Andrew B. Martinez, 2020. "Forecast Accuracy Matters for Hurricane Damage," Econometrics, MDPI, vol. 8(2), pages 1-24, May.
    3. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2012. "International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach," Melbourne Institute Working Paper Series wp2012n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    4. Mihaela Simionescu & Irina Dragan, 2016. "The Evaluation Of Quarterly Forecast Intervals For Inflation Rate In Romania," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 14(1), pages 80-89, May.
    5. Wändi Bruine de Bruin & Michael F. Bryan & Simon M. Potter & Giorgio Topa & Wilbert Van der Klaauw, 2008. "Rethinking the measurement of household inflation expectations: preliminary findings," Staff Reports 359, Federal Reserve Bank of New York.
    6. Michael Berlemann & Forrest Nelson, 2005. "Forecasting Inflation via Experimental Stock Markets Some Results from Pilot Markets," ifo Working Paper Series 10, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    7. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    8. David Griffiths, 2004. "The big problem of forecasting small change," Applied Economics, Taylor & Francis Journals, vol. 36(19), pages 2195-2207.
    9. Marco Vega, 2004. "Policy Makers Priors and Inflation Density Forecasts," Econometrics 0403005, University Library of Munich, Germany.
    10. Ericsson Neil R., 2008. "Comment on "Economic Forecasting in a Changing World" (by Michael Clements and David Hendry)," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-18, October.
    11. Bratu Simionescu Mihaela, 2012. "Variables Aggregation-Source of Uncertainty in Forecasting," Scientific Annals of Economics and Business, Sciendo, vol. 59(2), pages 1-13, December.
    12. Nymoen, Ragnar, 2005. "Evaluating a Central Bank’s Recent Forecast Failure," Memorandum 22/2005, Oslo University, Department of Economics.

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    Econometric models; Forecasting; Econometrics;
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