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A Note on Forecasting with Econometric Models

Published online by Cambridge University Press:  10 May 2017

P. Geoffrey Allen
P. Geoffrey Allen*
Affiliation:
Agricultural and Resource Economics, University of Massachusetts, Amherst
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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 

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Footnotes

Helpful comments were received from two anonymous reviewers.

References

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