Comparing Information in Forecasts from Econometric Models
通过回归实际值对两个模型预测值的方法，比较了不同计量经济模型（如结构模型、向量自回归模型和自回归成分模型）对实际GNP增长率的预测信息含量，并确保预测不使用未来信息。
The information contained in one model's forecast compared to that in another can be assessed from a regression of actual values on predicted values from the two models. The authors do this for forecasts of real GNP growth rates for different pairs of models. The models include a structural model (the Fair model), various versions of the vector autoregressive model, and various versions of a model the authors call the "autoregressive components" model. The authors' procedure requires that forecasts make no use of future information and they have been careful to try to insure this, including using the version of the Fair model that existed in 1976, the beginning of their test period. Copyright 1990 by American Economic Association.