Research Discussion Papers, Bank of Finland
No 23/1996:
Assessing the Forecasting Performance of a Macroeconomic Model
Juhana Hukkinen ()
and Matti Viren ()
Abstract: This paper contains a description of a small quarterly
forecasting model for the Finnish economy. We evaluate the forecasting
properties of the model by means of stochastic simulation involving both
the endogenous and exogenous variables of the model. The simulations allow
us to identify and quantify the main sources of forecasting uncertainty. We
are also able to assess the linearity of the model. Forecasting performance
is also analyzed in a conventional way by means of dynamic simulation. The
important issue in these simulations is the stability of the model: how
simulated values depend on the estimation period and the ordering of time
periods.
Keywords: forecasting; macro models; simulation; (follow links to similar papers)
26 pages, September 27, 1996
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