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Kenneth Wallis ()

Chapter 1 in Econometric Forecasting and High-Frequency Data Analysis, 2008, pp 1-51 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionMotivationOverviewA theoretical illustrationExampleGeneralisationsForecast evaluationMeasuring and Reporting Forecast UncertaintyModel-based measures of forecast uncertaintyThe linear regression modelEstimation error in multi-step forecastsStochastic simulation in non-linear modelsLoss functionsModel uncertaintyEmpirical measures of forecast uncertaintyReporting forecast uncertaintyForecast intervalsDensity forecastsGraphical presentationsAdditional examplesForecast scenariosUncertainty and disagreement in survey forecastsEvaluating Interval and Density ForecastsLikelihood ratio tests of interval forecastsChi-squared tests of interval forecastsExtensions to density forecastsThe probability integral transformationThe inverse normal transformationThe Bank of England's inflation forecastsComparing density forecastsConclusionReferences

Keywords: Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis (search for similar items in EconPapers)
JEL-codes: C4 C5 C7 (search for similar items in EconPapers)
Date: 2008
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