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The Informational Context of Ex Ante Forecasts

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Author Info
Fair, Ray C
Shiller, Robert J

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Abstract

The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and Shiller (1987) to examine the informational content of three sets of ex ante forecasts: the American Statistical Association and National Bureau of Economic Research Survey (ASA), Data Resources Incorporated (DRI), and Wharton Economic Forecasting Associates (WEFA). We compare these forecasts to each other and to "quasi ex ante" forecasts generated from a vector autoregressive model, an autoregressive components model, and a large-scale structural model (the Fair model). Copyright 1989 by MIT Press.

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Publisher Info
Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 71 (1989)
Issue (Month): 2 (May)
Pages: 325-31
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Handle: RePEc:tpr:restat:v:71:y:1989:i:2:p:325-31

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  3. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January. [Downloadable!] (restricted)
  4. Hendry, David F. & Richard, Jean-Francois, 1982. "On the formulation of empirical models in dynamic econometrics," Journal of Econometrics, Elsevier, vol. 20(1), pages 3-33, October. [Downloadable!] (restricted)
  5. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis. [Downloadable!]
  6. Maurice Obstfeld & Robert E. Cumby & John Huizinga, 1983. "Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations," NBER Technical Working Papers 0011, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Stephen K. McNees, 1986. "The accuracy of two forecasting techniques: some evidence and an interpretation," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 20-31.
  8. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
  9. Fair, Ray C, 1978. "The Sensitivity of Fiscal Policy Effects to Assumptions about the Behavior of the Federal Reserve," Econometrica, Econometric Society, vol. 46(5), pages 1165-79, September. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Paul Hubert, 2009. "Informational Advantage and Influence of Communicating Central Banks," Documents de Travail de l'OFCE 2009-04, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
  2. Massimiliano Marcellino, . "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
  3. Carlos Capistrán-Carmona, 2005. "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?," Computing in Economics and Finance 2005 127, Society for Computational Economics. [Downloadable!]
    Other versions:
  4. Frank A.G. den Butter & Pieter W. Jansen, 2008. "Beating the Random Walk: a Performance Assessment of Long-term Interest Rate Forecasts," Tinbergen Institute Discussion Papers 08-102/3, Tinbergen Institute. [Downloadable!]
  5. NUÑEZ AMORTEGUI, Héctor Mauricio, 2005. "Una evaluación de los pronósticos de inflación en Colombia bajo el esquema de inflación objetivo," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
  6. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Paul Hubert, 2009. "An Empirical Review of Federal Reserve’s Informational Advantage," Documents de Travail de l'OFCE 2009-03, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
  8. Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers 2003-024, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  9. Luis Fernando Melo & Héctor Núñez, . "Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales," Borradores de Economia 286, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
  10. Elkin Castaño & Luis Fernando Melo, . "Métodos de Combinación de Pronósticos: Una Aplicación a la Inflación Colombiana," Borradores de Economia 109, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
  11. Michael T. Belongia, 1988. "Are economic forecasts by government agencies biased? Accurate?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 15-23. [Downloadable!]
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