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Unformatted text preview: different critical values for t-statistic on ût-1
Economics 20 - Prof. Anderson 6 Forecasting
Once we’ve run a time-series regression we can use it for forecasting into the future Can calculate a point forecast and forecast interval in the same way we got a prediction and prediction interval with a cross-section Rather than use in-sample criteria like adjusted R2, often want to use out-of-sample criteria to judge how good the forecast is
Economics 20 - Prof. Anderson 7 Out-of-Sample Criteria
Idea is to note use all of the data in estimating the equation, but to save some for evaluating how well the model forecasts Let total number of observations be n + m and use n of them for estimating the model Use the model to predict the next m observations, and calculate...
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This note was uploaded on 03/03/2009 for the course ECON 382 taught by Professor Sun during the Spring '08 term at CUNY Queens.
- Spring '08