Research Discussion Papers, Bank of Finland
No 5/1998:
How to Evaluate the Forecasting Performance of a Macroeconomic Model
Juhana Hukkinen ()
and Matti Viren ()
Abstract: This paper provides an answer to the question of how to
improve the forecasting performance of a macro model to better account for
economic developments and how to evaluate the forecasting uncertainty. The
main tool in this assessment is stochastic simulation. Stochastic
simulations in this paper involve both endogenous and exogenous variables.
These simulations also allow us to assess the linearity of the model.
Alternative dynamic simulations may, in turn, give some idea of the
stability of the model. Finally, the forecasts may be improved by comparing
the outcomes from the macro model and from a leading indicators' model.
This kind of exercise is particularly useful in assessing the developments
in the short run, in which case the macro models typically perform rather
poorly.
Keywords: forecasting; macro models; simulation; (follow links to similar papers)
JEL-Codes: E37; (follow links to similar papers)
29 pages, April 14, 1998
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
DP_05_1998.pdf 
Download Statistics
Questions (including download problems) about the papers in this series should be directed to Minna Nyman ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
