Abstract
The subject of the third chapter are the basics of econometric forecasting. Basic concepts used in econometric forecasting are presented. The basic assumptions of the econometric prediction theory and the consequences they are not met are discussed. The procedure of building forecasts based on a one-equation model was characterized. The issues of admissibility of forecasts along with their measures were explained. The issues of testing the accuracy of forecasts were discussed. The specificity of building forecasts based on multi-equation models was presented—the differences in forecasting procedures based on simple, recursive models and systems of interdependent equations were indicated.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Notes
- 1.
Cf. Pawłowski (1973: 15). The voluntarism of the forecast builder and/or user is ipso facto eliminated.
- 2.
Here, the predictor is the empirical function constituting the tool for forecast estimation.
- 3.
In practice, residual variance \( {S}_u^2 \) is used as estimator σ2.
- 4.
An unacceptable forecast is not always a worthless forecast. If its accuracy deviates slightly from the user’s requirements, it can be used as a "turn signal” for the forecast variable in question. It can allow the user to prepare for the expected direction of the forecast variable formation.
- 5.
An expired forecast is understood as such a forecast for which the forecast variable yT realization is known.
- 6.
A sequence of expired forecasts should be characterized by a variety of prediction error (ωT) signs and the error moduli magnitudes (|ωT|) smaller than the mean forecast errors (VT).
- 7.
This means that in a recursive model, there can be more than one initial (starting) equation. The starting equation is of a simple-model-equation character, just as a detached equation in a system of interdependent equations.
References
Pawłowski Z (1973) Prognozy ekonometryczne. PWN, Warszawa
Wiśniewski JW (2019) Autosynchronizacja prognoz w mikromodelu ekonometrycznym o zamkniętym cyklu powiazań. In: Batóg B (ed) Mikroekonometria. Teoria i praktyka. DIFIN, Warszawa, pp 123–147
Zeliaś A (1997) Teoria prognozy. PWE, Warszawa
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2023 The Author(s), under exclusive license to Springer Nature Switzerland AG
About this chapter
Cite this chapter
Wiśniewski, J.W. (2023). Econometric Forecasts. In: Forecasting from Multi-equation Econometric Micromodels. Contributions to Economics. Springer, Cham. https://doi.org/10.1007/978-3-031-27492-3_3
Download citation
DOI: https://doi.org/10.1007/978-3-031-27492-3_3
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-031-27491-6
Online ISBN: 978-3-031-27492-3
eBook Packages: Economics and FinanceEconomics and Finance (R0)