Estimation and Forecasting

Yakov Ben-Haim
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Yakov Ben-Haim: The Technion

Chapter Chapter 6 in Info-Gap Economics, 2010, pp 179-210 from Palgrave Macmillan

Abstract: Abstract We illustrate the combination of statistical estimation and forecasting with info-gap robust-satisficing in three examples. In all cases the data are not only statistically random, but also subject to nonrandom info-gaps. Info-gaps in economic data may arise due to delay between the initiation of a systemic change and its manifestation in data. In addition, current best-estimates of economic data are infogap-uncertain because these data may be substantially revised in the future as new information becomes available and new definitions and classifications are adopted. Section 6.1 considers a regression of serial data and the use of that regression to predict the next outcome. Section 6.2 discusses an auto-regression, and section 6.3 studies the confidence interval of the least squares estimate of a variable.

Keywords: Root Mean Square Error; Root Mean Square; Future Revision; Contextual Understanding; Estimate Root Mean Square Error (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-27732-8_6

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DOI: 10.1057/9780230277328_6

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