Forecasting from multi-equation models has very rarely been the focus in econometric literature. In response, this book presents a range of methodologies to approach this complex field and offers readers essential information on forecasting from multi-equation econometric micromodels.
In the twentieth century, significant interest in econometric macromodels emerged. These multi-equation models are mostly systems of interdependent equations, most often used to describe the national economies of various countries. The book analyzes econometric forecasting procedures and illustrates them with empirical examples that are based on real economic (mostly business-derived) data. The procedure of forecast building from systems of interdependent equations is presented for two categories of econometric models: models with a feedback effect and models with closed-loop links between interdependent variables.
The forecasts obtained via this technique are compared with the results derived from reduced-form equations of the respective econometric model. The author also generalizes the rules of the reduced-recursive (helical, iterative) procedure application, against the backdrop of the proposed method of forecast building from reduced-form equations of systems of interdependent equations. Given its scope, the book will appeal not only to PhD students and researchers, but also undergraduate students and academics in general.
Author(s): Jerzy Witold Wiśniewski
Series: Contributions to Economics
Publisher: Springer
Year: 2023
Language: English
Pages: 152
City: Cham
Introduction
References
Contents
Chapter 1: Single-Equation Econometric Model
1.1 The Essence of Econometric Models
1.2 Econometric Model Specification
1.3 Econometric Model Parameter Estimation
1.4 Econometric Model Verification
1.5 Multiplicative Econometric Models
1.6 Bound Endogenous Variables
References
Chapter 2: Multi-Equation Econometric Models
2.1 Multi-Equation Model Classification
2.2 Reduced Form of a Model
2.3 Model Identification
2.4 Multi-Equation Model Parameter Estimation
Chapter 3: Econometric Forecasts
3.1 The Concept of an Econometric Forecast
3.2 Conditions for Econometric Forecast Estimation
3.3 Forecasts from Single-Equation Models
3.4 Analysis of Econometric Forecast Accuracy
3.5 Forecast Estimation from Multi-Equation Models
References
Chapter 4: Forecasting from Simple Econometric Micromodels
4.1 Forecasts from an Enterprise Cost Micromodel
4.2 Forecasting of Worker Efficacy from a System of Two Simple Equations
4.3 Forecasting of Sales Representative Efficacy from a System of Two Simple Equations
References
Chapter 5: Forecasting from Recursive Econometric Micromodels
5.1 Forecasts from an Econometric Model of a Medium-Sized Enterprise
5.2 Econometric Forecasts of a Sports Equipment Selling enterprise´s Costs
5.3 Forecasts from a Recursive Model of China´s Payment Card Market
References
Chapter 6: Forecasting from an Econometric Micromodel in the Form of a System of Interdependent Equations
6.1 The Specifics of Forecasting an Enterprise as an Economic System
6.2 Iterative Forecasting from a Closed-Loop Econometric Micromodel, Assuming a System Inertia
6.3 Iterative Forecasting when Interfering with the System Using Control Variables
6.4 Liquidity and Debt Collection Efficiency Forecasting, Using the Forecasts of Loop Variables
References
Conclusion
