Forecasting—looking back and forward: Paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University,Rotterdam |
| |
Authors: | Clive WJ Granger |
| |
Institution: | Department of Economics, University of California, San Diego, La Jolla, CA 92093 0508, USA |
| |
Abstract: | The first two influential books on economic forecasting are by Henri Theil 1961, second edition 1965. Economic Forecasts and Policy. North-Holland, Amsterdam] and by George Box and Gwilym Jenkins 1970. Time Series Analysis, Forecasting and Control. Holden Day, San Francisco]. Theil introduced advanced mathematical statistical techniques and considered a variety of types of data. Box and Jenkins introduced ARIMA models and how they are used to forecast. With these foundations, the field of economic forecasting has considered a wide range of techniques and models, wider and deeper information sets, longer horizons, and deeper questions including how to better evaluate all forecasts and how to disentangle a forecast, a policy, and the outcomes. Originally, forecasts were just for means (or expectations) then moved to variances, and now consider predictive distributions. Eventually, multivariate distributions will have to be considered, but evaluation will be difficult. |
| |
Keywords: | C22 C32 C53 |
本文献已被 ScienceDirect 等数据库收录! |
|