Toward a Theory of Evaluating Predictive Accuracy

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.

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Year of publication:	2004-11
Authors:	Kunst, Robert M. ; Jumah, Adusei
Institutions:	Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
Subject:	Forecasting \| Time series \| Investment

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Extent:	application/pdf
Series:	Economics Series.
Type of publication:	Book / Working Paper
Notes:	Number 162 43 pages
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E27 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005704195