|
The Error of Forecast in Econometric Models when the Forecast-Period Exogenous Variables are Stochastic
Martin S. Feldstein
Abstract
This paper presents formulae for the standard error of forecast of a single equation and the covariance matrix of forecasts of a complete system of equations that are appropriate when the exogenous variables in the forecast period are stochastic. The problems of defining forecast intervals and multidimensional forecast regions are also discussed.
|
