A Simple Method for the Construction of Empirical Confidence Limits for Economic Forecasts

作者：William Howard Williams, M. L. Goodman · 发表于：Journal of the American Statistical Association · 年份：1971 · DOI：10.2307/2284223 · 被引用次数：27 · 研究领域：Monetary Policy and Economic Impact、Forecasting Techniques and Applications、Complex Systems and Time Series Analysis

A simple method for the construction of empirical confidence intervals for time series forecasts is described. The procedure is to go through the series making a forecast from each point in time. The comparison of these forecasts with the known actual observations will yield an empirical distribution of forecasting errors. This distribution can then be used to set confidence intervals for subsequent forecasts. The technique appears to be particularly useful when the mechanism generating the series cannot be fully identified from the available data or when limits based on more standard considerations are difficult to obtain.