Statistics and Economic theory

Persons, Warren M.

doi:10.2307/1928417

Cited by 52 publications

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“…The more economics-oriented "statistics textbooks" written in the 1920s and 1930s, including Bowley (1920Bowley ( /1926Bowley ( /1937, Mills (1924Mills ( /1938, Ezekiel (1930), Davis and Nelson (1935) and Secrist (1930), largely ignored the new statistical inference paradigm. Their perspective was primarily one of 'descriptive statistics', supplemented with the Pearson-Yule curve-fitting perspective on correlation and regression, and certain additional focus on the analysis of time series data, including index numbers; see Persons (1925).…”

Section: Economic Statistics In the Early 20th Centurymentioning

confidence: 99%

Statistics and Economics

Spanos¹

2008

The New Palgrave Dictionary of Economics

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Section: Economic Statistics In the Early 20th Centurymentioning

confidence: 99%

Statistics and Economics

Spanos¹

2008

The New Palgrave Dictionary of Economics

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Statistical Producers Challenges and Help

Jones

O'Byrne

2023

Advances in Business Statistics, Methods and Data Collection

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Structural change and the combination of forecasts

Diebold

Pauly

1987

Journal of Forecasting

211

101

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Forecasters are generally concerned about the properties of model-based predictions in the presence of structural change. In this paper, it is argued that forecast errors can under those conditions be greatly reduced through systematic combination of forecasts. We propose various extensions of the standard regression-based theory of forecast combination. Rolling weighted least squares and time-varying parameter techniques are shown to be useful generalizations of the basic framework. Numerical examples, based on various types of structural change in the constituent forecasts, indicate that the potential reduction in forecast error variance through these methods is very significant. The adaptive nature of these updating procedures greatly enhances the effect of risk-spreading embodied in standard combination techniques. KEY WORDS Structural change Forecast combinationVarying-parameter models '. . . in reality thcre are constant changes, structural shifts in the economy, changes in attitudes, political moves that alter established trends, new technological developments, and the like, which cause existing patterns to change and existing relationships to shift. Forecasting must, therefore, accept that structural changes in the data are and will be taking place. Otherwise, it will not be a relevant and practical field. The major question, then, becomes how the various methods perform under a continuously changing environment. There is little interest in knowing which methods perform the best in fitting a model to a set of data. The most important and relevant aspect of forecasting is to know the methods which can minimize the post-sample forecasting errors.' et al. (1984) It has been said that the ultimate test of any econometric model is its performance as a forecasting device. Forecasting and simulation are the two most important uses of econometric models, and any new technique which significantly enhances their performance in one or both of these areas is a welcome addition to the economist's tool kit. MAKRIDAKIS

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Statistics and Economic theory

Cited by 52 publications

References 0 publications

Statistics and Economics

Statistics and Economics

Statistical Producers Challenges and Help

Structural change and the combination of forecasts

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