Guesstimation

Wojciech Charemza

No 98/1, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: Macroeconomic model builders attempting to construct forecasting models frequently face constraints of data scarcity in terms of short time series of data, and also of parameter non-constancy and underspecification. Hence, a realistic alternative is often to guess rather than to estimate parameters of such models. This paper concentrates on repetitive guessing (drawing) parameters from iteratively changing distributions, with the straightforward objective function being that of minimisation of squares of ex-post prediction errors, weighted by penalty weights and subject to a learning process. The numerical Monte Carlo examples are those of a regression problem and a dynamic disequilibrium model.

Keywords: estimation; short data series; macromodels; computations; methodology (search for similar items in EconPapers)
Date: 1998-02, Revised 1998-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.le.ac.uk/economics/research/RePEc/lec/leecon/econ98-1.pdf (application/pdf)

Related works:
Journal Article: Guesstimation (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lec:leecon:98/1

Ordering information: This working paper can be ordered from
https://www2.le.ac.u ... -1/discussion-papers

Access Statistics for this paper

More papers in Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester School of Business, University of Leicester, University Road. Leicester. LE1 7RH. UK Provider-Homepage: https://le.ac.uk/school-of-business. Contact information at EDIRC.
Bibliographic data for series maintained by Abbie Sleath ().