Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72258
Authors: 
Kunst, Robert M.
Jumah, Adusei
Year of Publication: 
2004
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 162
Abstract: 
We suggest a theoretical basis for the comparative evaluation of forecasts. Instead of the general assumption that the data is generated from a stochastic model, we classify three stages of prediction experiments: pure non-stochastic prediction of given data, stochastic prediction of given data, and double stochastic simulation. The concept is demonstrated using an empirical example of UK investment data.
Subjects: 
forecasting
time series
investment
JEL: 
C22
C53
E27
Document Type: 
Working Paper

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