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A framework for economic forecasting

Neil R. Ericsson and Jaime Marquez
The Econometrics Journal
Vol. 1, No. 1, Papers from the EC2 Conference (1998), pp. C228-C266
Published by: Wiley on behalf of the Royal Economic Society
Stable URL: http://www.jstor.org/stable/23114960
Page Count: 39
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
A framework for economic forecasting
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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 US 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.

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