Evaluating Econometric Forecasts of Economic and Financial Variables
1st Edition
Published on 21. January 2005
XIII, 173 pages
978-0-230-59614-6 (ISBN)
Description
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.
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Book
01/2005
Palgrave Macmillan
€106.99
Shipment within 10-20 days
Book
01/2005
Palgrave Macmillan
€106.99
Shipment within 10-20 days
Person
MICHAEL P. CLEMENTS is an editor of the
International Journal of Forecasting
, and has co-authored two books on economic forecasting as well as a number of papers in scientific journals. With David F. Hendry he edited
A Companion to Economic Forecasting
.
Content
Introduction Point Forecasts Volatility Forecasts Interval Forecasts Density Forecasts Decision-based Evaluation Postscript Computer Code References
