A framework for economic forecasting

Neil Ericsson and Jaime R. Marquez

No 626, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper proposes a tripartite framework of design, evaluation, and post-evaluation analysis for generating and interpreting economic forecasts. This framework's value is illustrated by re-examining mean square forecast errors from dynamic models and nonlinearity biases from empirical forecasts of U.S. external trade. Previous studies have examined properties such as nonlinearity bias and the possible nonmonotonicity and nonexistence of mean square forecast errors in isolation from other aspects of the forecasting process, resulting in inefficient forecasting techniques and seemingly puzzling phenomena. The framework developed reveals how each such property follows from systematically integrating all aspects of the forecasting process.

Keywords: Forecasting (search for similar items in EconPapers)
Date: 1998
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (9)

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