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International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page Forecast Uncertainty in Economic Modeling
Neil R. Ericsson
2001-697  (February 2001)

Abstract:  This paper provides an introduction to forecast uncertainty in empirical economic modeling. Forecast uncertainty is defined, various measures of forecast uncertainty are examined, and some sources and consequences of forecast uncertainty are analyzed. Empirical illustrations with the U.S. trade balance, U.K. inflation and real national income, and the U.S./U.K. exchange rate help clarify the issues involved.

Full paper (214 KB PDF) | Full paper (1319 KB Postscript)

econometrics, economics, forecasting, models, uncertainty.

As Published Elsewhere
In David F. Hendry and Neil R. Ericsson, eds., Understanding Economic Forecasts (MIT Press, forthcoming).

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Last update: July 19, 2001