Macro-economic forecasting and modelling

Article Abstract:

The basics of good economic model formulation are presented. The fact that many models have failed to predict such important occurrences as the consumer boom of the 1980s and the recession of the 1990s should not lead to the rejection of such models in forecasting economic conditions. Econometric methodology can especially prove useful in economic modeling. The adoption of methods that would incorporate intercept corrections can go a long way in enhancing the robustness of models.

Models, Econometrics, Macroeconomics

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Bootstrapping prediction intervals for autoregressive models

Article Abstract:

The paper studies bootstrap techniques to allow for parameter estimate uncertainty and reduce estimator's bias of models' parameters and show that they improve the coverage of Box-Jenkins prediction intervals for linear autoregressive models.

United Kingdom, Statistical Data Included, Linear models (Statistics), Random variables

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Explaining the results of the M3 forecasting competition

Article Abstract:

The authors prefer simpler methods and pooling, and suggest that measurement accuracy and evaluation horizon are important to accurate forecasts.

World, Economic forecasting, Competitions

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