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A Note on Forecasting with Econometric Models
Published online by Cambridge University Press: 10 May 2017
Abstract
Forecasts made by econometricians are typically conditioned on actual values of explanatory variables, even when at the time of the forecast, such variables might not be available. As a first step, one might test the adequacy of econometric specification by comparing conditional post sample forecasts with those of a univariate ARIMA model. Second, when explanatory variables must themselves be forecast, those for which this can be done only badly, should be omitted from the final model. A better forecast will result. An example of screening out badly forecasted explanatory variables is presented.
- Type
- Articles
- Information
- Northeastern Journal of Agricultural and Resource Economics , Volume 13 , Issue 2 , October 1984 , pp. 264 - 267
- Copyright
- Copyright © 1984 Northeastern Agricultural and Resource Economics Association
Footnotes
Helpful comments were received from two anonymous reviewers.