| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6167 |
| DP6167 Improved Errors-in-Variables Estimators for Grouped Data | |
| Paul J. Devereux | |
| 发表日期 | 2007-03-09 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Forecasts guide decisions in all areas of economics and finance and their value can only be understood in relation to, and in the context of, such decisions. We discuss the central role of the loss function in helping determine the forecaster's objectives and use this to present a unified framework for both the construction and evaluation of forecasts. Challenges arise from the explosion in the sheer volume of predictor variables under consideration and the forecaster's ability to entertain an endless array of functional forms and time-varying specifications, none of which may coincide with the `true' model. Methods for comparing the forecasting performance of pairs of models or evaluating the ability of the best of many models to beat a benchmark specification are also reviewed. |
| 主题 | Financial Economics |
| 关键词 | Economic forecasting Forecast evaluation Loss function |
| URL | https://cepr.org/publications/dp6167 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535005 |
| 推荐引用方式 GB/T 7714 | Paul J. Devereux. DP6167 Improved Errors-in-Variables Estimators for Grouped Data. 2007. |
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