Accession Number : AD0736355

Title :   Comparison of Forecast Accuracy When the Disturbances are Small: Directly Estimated Reduced Forms vs. K-Class Induced Reduced Forms,

Corporate Author : CENTER FOR NAVAL ANALYSES ARLINGTON VA

Personal Author(s) : Brown,George F. , Jr

Report Date : 27 NOV 1971

Pagination or Media Count : 25

Abstract : The paper discusses forecasts based upon (1) reduced forms estimated directly and (2) reduced forms derived from structural equations estimated by k-class methods. Using the method of small-sigma asymptotics, the asymptotic expected mean squared error of any linear combination of forecasts is derived in both cases. Except in special cases, the author shows that neither of the two methods of estimation dominates in the sense of having a lower expected mean squared error, regardless of which k-class method is used. This result confirms earlier findings of the same nature based upon a large sample asymptotic efficiency criterion. (Author)

Descriptors :   (*ECONOMICS, MATHEMATICAL MODELS), MATHEMATICAL PREDICTION, SAMPLING, REGRESSION ANALYSIS, MONTE CARLO METHOD, MATRICES(MATHEMATICS)

Subject Categories : Economics and Cost Analysis
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE