Derivation of prediction intervals in the k-variable regression model is problematic when future-period values of exogenous variables are not known with certainty. Even in the most favourable case when the forecasts of the exogenous variables are jointly normal, the distribution of the forecast erro
โฆ LIBER โฆ
The Error of Forecast in Econometric Models when the Forecast-Period Exogenous Variables are Stochastic
โ Scribed by Martin S. Feldstein
- Book ID
- 121210663
- Publisher
- John Wiley and Sons
- Year
- 1971
- Tongue
- English
- Weight
- 180 KB
- Volume
- 39
- Category
- Article
- ISSN
- 0012-9682
- DOI
- 10.2307/1909139
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This paper considers the consequences of the stochastic error process in large non-linear forecasting models. As such models are non-linear, the deterministic forecast is neither the mean nor the mode of the density function of the endogenous variables. Under a specific assumption as to the class of