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A Comparison of U.S. Housing Starts Forecasts

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  • Hamid Baghestani

    ()
    (Department of Economics, American University of Sharjah)

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    Abstract

    This study examines the Federal Reserve and private forecast accuracy of housing starts. We show that the Federal Reserve (private) forecasts are (generally) unbiased and superior to the random walk benchmark. At the shorter horizon, the Federal Reserve and private forecasts embody distinct predictive information, indicating that one can gain a significant improvement in forecast accuracy by combining the two sets of forecasts. At the longer horizon, our findings support the asymmetric information hypothesis that the Federal Reserve forecasts embody useful predictive information beyond that contained in the private forecasts.

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    File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I4-P5.pdf
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    Bibliographic Info

    Article provided by AccessEcon in its journal Economics Bulletin.

    Volume (Year): 29 (2009)
    Issue (Month): 4 ()
    Pages: 2525-2530

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    Handle: RePEc:ebl:ecbull:eb-09-00451

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    Related research

    Keywords: Greenbook forecasts; Survey of Professional Forecasters; Unbiasedness; Asymmetric information; Forecast combination;

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    1. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 134-44, January.
    2. William T. Gavin & Rachel J. Mandal, 2001. "Forecasting inflation and growth: do private forecasts match those of policymakers?," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue May, pages 11-20.
    3. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0192, National Bureau of Economic Research, Inc.
    4. Puri, Anil K. & Van Lierop, Johannes, 1988. "Forecasting housing starts," International Journal of Forecasting, Elsevier, Elsevier, vol. 4(1), pages 125-134.
    5. Baghestani, Hamid, 2006. "Federal reserve vs. private forecasts of real net exports," Economics Letters, Elsevier, Elsevier, vol. 91(3), pages 349-353, June.
    6. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(2), pages 281-291, June.
    7. Dean Croushore, 1993. "Introducing: the survey of professional forecasters," Business Review, Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Philadelphia, issue Nov, pages 3-15.
    8. David H. Romer & Christina D. Romer, 2000. "Federal Reserve Information and the Behavior of Interest Rates," American Economic Review, American Economic Association, American Economic Association, vol. 90(3), pages 429-457, June.
    9. Christopher A. Sims, 2002. "The Role of Models and Probabilities in the Monetary Policy Process," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 33(2), pages 1-62.
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