Econometric Forecasting

This lecture is confined to forecasting in the context of time and, consequently, time series (time-series forecasting). There are also forecasting problems outside the time context, for example if k out of n data points are observed and the remaining n − k points are to be ‘predicted’. In a wide sense, all extrapolations can be viewed as forecasts. However, we will consider only forecast problems with the following structure:

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