Comments on “ Incorporating Uncertainties into Economic Forecasts: an Application to Forecasting Economic Activity in Croatia ” Dario Rukelj and Barbara Ulloa. by Saša Žiković 16 th DEC, Dubrovnik, Croatia, 2010. Motivation.
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Comments on “Incorporating Uncertainties into Economic Forecasts: anApplication to Forecasting Economic Activity in Croatia”Dario Rukelj and Barbara Ulloa
by Saša Žiković
16th DEC, Dubrovnik, Croatia, 2010
- very simple theoretical framework with 3 equations and 3 variables (government expenditures, M1 and velocity of money) and one common stochastic trend which drives the whole system.
If xt is IID U(0,1), then zt = Ф-1(xt) is IID N(0,1). When the data is transformed to follow normal distribution, a wider array of powerful statistical tools can be applied, than under uniform distribution. You can test the null hypothesis that zt is IID N(0,1) against a fairly general first-order autoregressive process with a possibly different mean and variance.
1) Measuring forecast uncertainty: A review with evaluation based on a macro model of the French economy (C. Bianchi, G. Calzolari)
2) Norwegian RIMINI model (30 stochastic equations, and about100 exogenous variables)
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