On behalf of the editors of ``Forecasting Principles'' a request for comments
on a forthcoming
Bibliography on Econometric Forecasting
(website on forecasting: http://www-marketing.wharton.upenn.edu/forecast )
Please direct all reactions to Professor Allen:
mailto:[log in to unmask]
P. Geoffrey Allen, Professor of Resource Economics, University of Massachusetts in
Amherst has been examining the literature on econometric procedures to determine
how they relate to accuracy. For example, what is the evidence on the accuracy of
econometric versus subjective forecasts?
He provides seven tables containing the detailed source information for the condensed
tables contained in the chapter 'Econometric Forecasting.' Consider his Table 7 on
econometric versus univariate forecasts. It summarizes 442 comparisons from 55
studies that were done since 1985. For example, for ex ante forecasts, there are 224
comparisons where econometric models were more accurate, 14 ties, and 82 where
univariate were more accurate. Interestingly, the advantage was more impressive for
ex ante forecasts than it was for ex post forecasts, where econometric methods were
better on 69, worse on 50, and tied on 3. He has also examined the conditions under
which econometric methods are most accurate. This is truly a massive meta-analysis.
Allen’s goal is to examine all relevant literature and to use it to develop principles.
The summary tables and references have been placed in an Adobe Acrobat PDF file on
this website. Perhaps you have done relevant research that has been overlooked.
Maybe you know of other research that has been overlooked. Or you might disagree
with the way that he conducted his research.
You'll find the bibliography in .pdf format on The forecasting principles website:
http://www-marketing.wharton.upenn.edu/forecast/biblios.html#econo
The forecasting principles book is reaching its final stage.
Please direct all reactions to Professor Allen:
mailto:[log in to unmask]
--
Marius Ooms mailto:[log in to unmask]
Editor Econometric Links The Econometrics Journal
Volume 2.1 appeared! http://www.eur.nl/few/ei/links/
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