Econometrica: Jan 1971, Volume 39, Issue 1

The Error of Forecast in Econometric Models when the Forecast-Period Exogenous Variables are Stochastic

https://doi.org/0012-9682(197101)39:1<55:TEOFIE>2.0.CO;2-Q
p. 55-60

Martin S. Feldstein

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.

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