Interpreting estimates of forecast bias
Neil Ericsson ()
International Journal of Forecasting, 2017, vol. 33, issue 2, 563-568
This paper resolves differences in results and interpretation between Ericsson’s (2017) and Gamber and Liebner’s (2017) assessments of forecasts of U.S. gross federal debt. As Gamber and Liebner (2017) discuss, heteroscedasticity could explain the empirical results in Ericsson (2017). However, the combined evidence in Ericsson (2017) and Gamber and Liebner (2017) supports the interpretation that these forecasts have significant time-varying biases. Both Ericsson (2017) and Gamber and Liebner (2017) advocate using impulse indicator saturation in empirical modeling.
Keywords: Bias; Debt; Federal government; Forecasts; Impulse indicator saturation; Heteroscedasticity; United States (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:33:y:2017:i:2:p:563-568
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