Lawrence R. Klein (ed.)
- Published in print:
- 1991
- Published Online:
- October 2011
- ISBN:
- 9780195057720
- eISBN:
- 9780199854967
- Item type:
- book
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195057720.001.0001
- Subject:
- Economics and Finance, Econometrics
One of the most important, and visible, things economists do is to forecast what will happen in the economy in the future. Each year, a number of different groups in the United States use their own ...
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One of the most important, and visible, things economists do is to forecast what will happen in the economy in the future. Each year, a number of different groups in the United States use their own econometric models to forecast what will happen to the economy in the coming year. Some economic forecasts are more accurate than others. This book consists of chapters comparing the different models now being used. It is organized topically rather than by model. The contributors include: Roger Brimmer, Ray Fair, Bert Hickman, F. Gerard Adams, and Albert Ando. The editor provides an introduction to the volume.Less
One of the most important, and visible, things economists do is to forecast what will happen in the economy in the future. Each year, a number of different groups in the United States use their own econometric models to forecast what will happen to the economy in the coming year. Some economic forecasts are more accurate than others. This book consists of chapters comparing the different models now being used. It is organized topically rather than by model. The contributors include: Roger Brimmer, Ray Fair, Bert Hickman, F. Gerard Adams, and Albert Ando. The editor provides an introduction to the volume.
Ray C. Fair and Lewis S. Alexander
- Published in print:
- 1991
- Published Online:
- October 2011
- ISBN:
- 9780195057720
- eISBN:
- 9780199854967
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195057720.003.0006
- Subject:
- Economics and Finance, Econometrics
This chapter compares the predictive accuracy of the Michigan and Fair econometric models using the method developed in Ray Fair. These models are compared to each other and to an eighth-order ...
More
This chapter compares the predictive accuracy of the Michigan and Fair econometric models using the method developed in Ray Fair. These models are compared to each other and to an eighth-order autoregressive model. The method accounts for the four main sources of uncertainty of an economic forecast: uncertainty due to the error terms, the coefficient estimates, the exogenous variables, and the possible misspecification of the model. Because it accounts for these four sources, it can be used to make comparisons across models. The method has been used to compare the Fair model to autoregressive models, vector autoregressive models, Thomas Sargent's classical macroeconomic model, and a small linear model, but this is the first time it has been used to compare two relatively large structural models. The chapter's primary aim is to demonstrate the application of the comparison method to large models.Less
This chapter compares the predictive accuracy of the Michigan and Fair econometric models using the method developed in Ray Fair. These models are compared to each other and to an eighth-order autoregressive model. The method accounts for the four main sources of uncertainty of an economic forecast: uncertainty due to the error terms, the coefficient estimates, the exogenous variables, and the possible misspecification of the model. Because it accounts for these four sources, it can be used to make comparisons across models. The method has been used to compare the Fair model to autoregressive models, vector autoregressive models, Thomas Sargent's classical macroeconomic model, and a small linear model, but this is the first time it has been used to compare two relatively large structural models. The chapter's primary aim is to demonstrate the application of the comparison method to large models.
