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
Authors:	Kunst, Robert M. ; Jumah, Adusei
Publisher:	Vienna : Institute for Advanced Studies (IHS)
Subject:	Prognoseverfahren \| Stochastischer Prozess \| Zeitreihenanalyse \| Schätzung \| Investition \| Großbritannien \| forecasting \| time series \| investment

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Series:	Reihe Ökonomie / Economics Series ; 162
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	741388340 [GVK] hdl:10419/72258 [Handle] RePEc:ihs:ihsesp:162 [RePEc]
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E27 - Forecasting and Simulation
Source:	EconStor

Persistent link: https://www.econbiz.de/10010293709