Advanced Search
MyIDEAS: Login to save this article or follow this journal

Retour vers le futur. Une analyse rétrospective des prévisions de MOSAÏQUE

Contents:

Author Info

  • Alexandre Mathis
  • Andrew Brociner

Abstract

[fre] L'utilisation, pendant près de dix ans, du modèle trimestriel du département d'économétrie de l'OFCE permet de faire une rétrospective des erreurs de prévisions passées. Il s'agit, par une analyse statistique des erreurs, d'essayer d'en décrire les principales caractéristiques. Les erreurs sont-elles systématiques, biaisées ou encore expliquées par les erreurs sur d'autres variables, exogènes notamment. A quel horizon prévoit-on le mieux ? Les prévisions faites à l'aide d'un modèle économétrique surclassent-elles celles produites par un modèle naïf ? Il apparaît que la qualité des prévisions s'améliore fortement lorsque l'horizon de prévision se rapproche. Pour l'horizon de prévision le plus court, quelques variables sont systématiquement sous- estimées ou sur-estimées. Les variables que l'on prévoit le plus mal le sont aussi par tous les autres prévisionnistes. Cette étude montre également que les erreurs sur l'environnement international affectent uniquement les prévisions des horizons les plus éloignés et ceci pour un nombre restreint de variables. [eng] Back to the Future : an analysis of the forecasts errors of the MOSAÏQUE model Alexandre Mathis, Andrew Brociner This study analyzes past errors of the quarterly model of the Econometrics Department of the OFCE. We conduct a statistical analysis of errors to describe its principal features. Are the errors biased, systematic, or explained by other errors, especially of exogenous variables ? For which time horizons do we forecast best ? Dees the model perform better than a forecast made by a simple model ? These are the questions we pose and try to answer. We find that the quality of the forecast improves with the shortening of the time horizon. In the shortest time horizon, some variables systematically underestimate or over-estimate the actual values. The variables which are the most difficult to predict are the ones other forecasters also find difficult to predict. We find that errors of the international economy influence the forecasts of some variables for long time horizons.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://dx.doi.org/10.3406/ofce.1994.1367
Download Restriction: no

File URL: http://www.persee.fr/articleAsPDF/ofce_0751-6614_1994_num_49_1_1367/ofce_0751-6614_1994_num_49_1_1367.pdf?mode=light
Download Restriction: no

Bibliographic Info

Article provided by Programme National Persée in its journal Revue de l'OFCE.

Volume (Year): 49 (1994)
Issue (Month): 1 ()
Pages: 207-228

as in new window
Handle: RePEc:prs:rvofce:ofce_0751-6614_1994_num_49_1_1367

Note: DOI:10.3406/ofce.1994.1367
Contact details of provider:
Web page: http://www.persee.fr/web/revues/home/prescript/revue/ofce

Related research

Keywords:

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:prs:rvofce:ofce_0751-6614_1994_num_49_1_1367. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.