A new approach for evaluating economic forecasts
AbstractThis paper presents a recently developed approach for evaluating economic forecasts. Previously, univariate methods were used to evaluate the forecasts of individual variables. However, many macroeconomic variables are forecast at the same time to describe the state of the economy. It is, therefore, appropriate to use a multivariate methodology in evaluating these forecasts. Our approach uses VARs and distance measures. It is applied to the Survey of Professional Forecasters (SPF). Our contributions are the application of the methodology for evaluating multivariate forecasts to the SPF, measuring accuracy, and testing for bias within this framework. We also consider whether there are forecasting performance asymmetries over the business cycle.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 32 (2012)
Issue (Month): 3 ()
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Forecast Evaluation; Survey of Professional Forecasters; Business Cycle; Mahalanobis Distance;
Other versions of this item:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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- Joutz, Fred & Stekler, H. O., 2000. "An evaluation of the predictions of the Federal Reserve," International Journal of Forecasting, Elsevier, vol. 16(1), pages 17-38.
- Groen, Jan J.J. & Kapetanios, George & Price, Simon, 2009. "A real time evaluation of Bank of England forecasts of inflation and growth," International Journal of Forecasting, Elsevier, vol. 25(1), pages 74-80.
- Chanont Banternghansa & Michael W. McCracken, 2009. "Forecast disagreement among FOMC members," Working Papers 2009-059, Federal Reserve Bank of St. Louis.
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