Chapter

Probability forecasting: Concepts and analysis

Anthony Garratt, Kevin Lee, M. Hashem Pesaran and Yongcheol Shin

in Global and National Macroeconometric Modelling

Published in print August 2006 | ISBN: 9780199296859
Published online September 2006 | e-ISBN: 9780191603853 | DOI: http://dx.doi.org/10.1093/0199296855.003.0007
 Probability forecasting: Concepts and analysis

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This chapter provides an introduction to the interpretation and estimation of probability forecasts, which is considered to be a particularly useful method for presenting forecasts and decision-making. It shows how probability forecasts can accommodate stochastic uncertainty, parameter uncertainty, and model uncertainty. Practical guidance on their computation is provided.

Keywords: probability; forecasting; stochastic uncertainty; parameter uncertainty; model averaging; forecast pooling

Chapter.  11581 words. 

Subjects: Econometrics and Mathematical Economics

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