Prediction in the Classical Regression Model参考.pptVIP

* * * * * * * * * * * * * * * * * * * * * * Applied Econometrics William Greene Department of Economics Stern School of Business Applied Econometrics 10. Prediction in the Classical Regression Model Forecasting Objective: Forecast Distinction: Ex post vs. Ex ante forecasting Ex post: RHS data are observed Ex ante: RHS data must be forecasted Prediction vs. model validation. Within sample prediction “Hold out sample” Prediction Intervals Given x0 predict y0. Two cases: Estimate E[y|x0] = ??x0; Predict y0 = ??x0 + ?0 Obvious predictor, b’x0 + estimate of ?0. Fore