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Besser geht's nicht - Genauigkeitsgrenzen von Konjunkturprognosen As Good as it Gets - Limits of Accuracy of Macroeconomic Short Term Forecasts

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  • Ullrich Heilemann

    ()
    (RWI Essen)

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    Abstract

    The paper aims at determining upper boundaries of accuracy ("error minima") for German macroeconomic forecasts. The study is based on simulations with the RWI-model, a medium sized macroeconometric model for the FRG. A first upper limit of forecast accuracy is fixed by the accuracy of predetermined variables and outside sample stability of model relationships. Further limits are found by a decomposition of model forecast errors into "equation errors", "model errors" and "errors of dynamics". For forecasts of growth and inflation the model simulations suggest that (1) present forecast errors do not seem to have much potential for improvement; (2) primarily this potential seems to lie on the single equation level.

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    Bibliographic Info

    Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

    Volume (Year): 224 (2004)
    Issue (Month): 1-2 (February)
    Pages: 51-64

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    Handle: RePEc:jns:jbstat:v:224:y:2004:i:1-2:p:51-64

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    Related research

    Keywords: Upper error boundaries of macroeconomic forecasts; error taxonomy; macroeconometric models; simulation.;

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    References

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    1. Wallis, Kenneth F., 2003. "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," International Journal of Forecasting, Elsevier, vol. 19(2), pages 165-175.
    2. Hendry, David F. & Clements, Michael P., 2001. "Economic forecasting: some lessons from recent research," Working Paper Series 0082, European Central Bank.
    3. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Paper 72, National Institute of Economic Research.
    4. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
    5. Heilemann, Ullrich & Stekler, H. O., 2003. "Has the accuracy of German macroeconomic forecasts improved?," Technical Reports 2003,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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    Cited by:
    1. Klinger, Sabine & Heilemann, Ullrich, 2005. "Zu wenig Wettbewerb? Zu Stand und Entwicklung der Genauigkeit makroökonomischer Prognosen," Technical Reports 2005,16, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

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