On selecting policy analysis models by forecast accuracy
Hendry, D.F. and Mizon, G.E. (1999) On selecting policy analysis models by forecast accuracy. Southampton, UK, University of Southampton (Discussion Papers in Economics and Econometrics 9918).
- Version of Record
The value of selecting the best forecasting model as the basis for empirical economic policy analysis is questioned. When no model coincides with the data generation process, non-causal statistical devices may provide the best available forecasts: examples from recent work include intercept corrections and differenced-data VARs. However, the resulting models need have no policy implications. A ‘paradox’ may result if their forecasts induce policy changes which can be used to improve the statistical forecast. This suggests correcting statistical forecasts by using the econometric model’s estimate of the ‘scenario’ change. An application to UK consumers expenditure illustrates the analysis.
|Item Type:||Monograph (Discussion Paper)|
|Subjects:||H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HA Statistics
|Divisions:||University Structure - Pre August 2011 > School of Social Sciences > Economics
|Date Deposited:||24 May 2007|
|Last Modified:||31 Mar 2016 11:59|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
Actions (login required)