The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Forecasting

  • Clive Granger
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_416

Abstract

Providing timely and useful forecasts is among the most relevant tasks of economists. The choice among the many techniques and approaches depends on the variables being forecast and the length of the forecast horizon. Providing confidence intervals around the point forecasts is becoming standard practice, as are sophisticated attempts at evaluating the quality of the forecasts and the intervals.

Forecasts are often combined, raising questions about the appropriate cost functions to use in the evaluation process. Economists once concentrated on forecasting the mean of a process, then moved to variance, and now consider quantities and the whole distribution.

Keywords

Akaike information criterion ARCH models ARMA models Bayes information criterion Copulas Error-correction models Forecasting Kalman filters Leading indicators Linear models Neural networks Quantiles Switching models Time series analysis Vector autoregressions 

JEL Classifications

C53 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Clive Granger
    • 1
  1. 1.