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International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page Predictable Uncertainty in Economic Forecasting
Neil R. Ericsson
2000-695  (December 2000)

Abstract:  This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty are illustrated by several analytical models, including static and dynamic models, and single-equation and multiple-equation models. Empirical models of the U.S. trade account, U.K. inflation, and U.K. real national income help clarify the issues involved.

Full paper (200 KB PDF) | Full paper (1411 KB Postscript)

econometrics, economics, forecasting, models, uncertainty.

As Published Elsewhere
In Michael P. Clements and David F. Hendry, eds., Companion to Economic Forecasting (Blackwell, forthcoming).

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Last update: July 19, 2001