Forecast uncertainty, its representation and evaluation

  • Kenneth F. Wallis
  • Published 2003


1 Measuring and reporting forecast uncertainty Sources of error in econometric model-based forecasts Calculation of measures of forecast uncertainty (expected forecast dispersion): • model-based: variance formulae, simulation methods, model uncertainty • empirical: forecast MSE, MAE, choice between them, adjustment for breaks Reporting forecast uncertainty… (More)


7 Figures and Tables