The Informational Context of Ex Ante Forecasts
AbstractThe 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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Bibliographic InfoArticle provided by MIT Press in its journal Review of Economics & Statistics.
Volume (Year): 71 (1989)
Issue (Month): 2 (May)
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Web page: http://mitpress.mit.edu/journals/
Other versions of this item:
- Ray C. Fair & Robert J. Shiller, 1988. "The Informational Content of Ex Ante Forecasts," Cowles Foundation Discussion Papers 857, Cowles Foundation for Research in Economics, Yale University.
- Ray C. Fair & Robert J. Shiller, 1989. "The Informational Content of Ex Ante Forecasts," NBER Working Papers 2503, National Bureau of Economic Research, Inc.
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