Toward a Theory of Evaluating Predictive Accuracy
Robert Kunst () and
Adusei Jumah ()
No 162, Economics Series from Institute for Advanced Studies
We suggest a theoretical basis for the comparative evaluation of forecasts. Instead of the general assumption that the data is generated from a stochastic model, we classify three stages of prediction experiments: pure non-stochastic prediction of given data, stochastic prediction of given data, and double stochastic simulation. The concept is demonstrated using an empirical example of UK investment data.
Keywords: Forecasting; Time series; Investment (search for similar items in EconPapers)
JEL-codes: C22 C53 E27 (search for similar items in EconPapers)
Pages: 43 pages
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https://irihs.ihs.ac.at/id/eprint/1601 First version, 2004 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:ihs:ihsesp:162
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