Evaluating Econometric Forecasts of Economic and Financial Variables

✍ Scribed by Michael P. Clements (auth.)

• Publisher: Palgrave Macmillan UK
• Year: 2005
• Tongue: English
• Leaves: 187
• Series: Palgrave Texts in Econometrics
• Edition: 1
• Category: Library

✦ Synopsis

Financial econometrics is one of the greatest on-going success stories of recent decades, as it has become one of the most active areas of research in econometrics. In this book, Michael Clements presents a clear and logical explanation of the key concepts and ideas of forecasts of economic and financial variables. He shows that forecasts of the single most likely outcome of an economic and financial variable are of limited value. Forecasts that provide more information on the expected likely ranges of outcomes are more relevant. This book provides a comprehensive treatment of the evaluation of different types of forecasts and draws out the parallels between the different approaches. It describes the methods of evaluating these more complex forecasts which provide a fuller description of the range of possible future outcomes.

✦ Table of Contents

Front Matter....Pages i-xiii
Introduction....Pages 1-3
Point Forecasts....Pages 4-45
Volatility Forecasts....Pages 46-76
Interval Forecasts....Pages 77-102
Density Forecasts....Pages 103-123
Decision-based Evaluation....Pages 124-142
Postscript....Pages 143-145
Computer Code....Pages 146-155
Back Matter....Pages 156-173

✦ Subjects

Econometrics