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Forecasting Economic Time Series

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Author Info

  • Schorfheide, Frank

Abstract

The prediction of future events and developments is an exciting and perhaps mysterious task, often associated with the aura of prophets and seers instead of probabilistic models and computer screens. The reality of macroeconomic forecasting, however, is quite mundane. Predictions of macroeconomic aggregates play an important role in the decision making of private enterprises, central banks, and governments. In general, forecasts become less popular if they turn out to be inaccurate ex post, and the postwar history of macroeconomic forecasting has had its share of disappointments. For instance, in the early 1980 s, economists tested inflation forecasts taken over the previous 20 years and found that the forecasts were poor, partly as a result of the oil price shocks in the 1970 s. A recent study (Croushore, 1998) with data up to 1996 provides a more favorable assessment of the quality of inflation forecasts.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 16 (2000)
Issue (Month): 03 (June)
Pages: 441-450

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Handle: RePEc:cup:etheor:v:16:y:2000:i:03:p:441-450_00

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Cited by:
  1. Giordani, Paolo & Kohn, Robert, 2008. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 66-77, January.
  2. Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009. "Forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, vol. 25(4), pages 642-675, October.
  3. Fernando M. Gonçalves, 2008. "Accumulating Foreign Reserves Under Floating Exchange Rates," IMF Working Papers 08/96, International Monetary Fund.
  4. Gerit Vogt, 2009. "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, Ifo Institute for Economic Research at the University of Munich, number 36.
  5. Maghyereh, Aktham, 2003. "Financial Liberalization and Stability Demand for Money in Emerging Economies: Evidence from Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(2).

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