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Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance

In: Business Cycles, Indicators and Forecasting

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Author Info

  • Victor Zarnowitz
  • Phillip Braun

Abstract

The National Bureau of Economic Research, in co-operation with the American Statistical Association, conducted a regular quarterly survey of professional macroeconomic forecasters for 22 years beginning in 1968. The survey produced a mass of information about characteristics and results of the forecasting process. Many studies have already used some of this material. but this is the first comprehensive examination of all of It, This report addresses several subjects and produces findings on each, as follows: (I) The distributions of error statistics across the forecasters: the dispersion among the individual predictions is often large and it typically increases with forecast horizon, as do the mean absolute (or squared) errors. (2) The role of the time-series properties of the target data: the more volatile the time series, the larger as a rule are the errors of the forecasts. (3) The role of revisions in "actual" data: forecast errors tend to be larger the greater the extent of the revisions. (4) Differences by subperiod: there is little evidence of an overall improvement or deterioration in forecasts between the 1970s and the 19805. (5) Combining the individual forecasts into group mean or "consensus" forecasts: this generally results in large gains in accuracy. (6) Comparisons with a well-known macroeconometric model: the group forecasts are more accurate for most but not all variables and spans. (7) Comparisons with state-of-the-art time series models: the group forecasts and at least half of the individual forecasts tend to outperform Bayesian vector autoregressive models in most (but not all) cases. The univariate ARIMA forecasts arc generally the weakest.

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This chapter was published in:

  • James H. Stock & Mark W. Watson, 1993. "Business Cycles, Indicators and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number stoc93-1, May.
    This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number 7189.

    Handle: RePEc:nbr:nberch:7189

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    References

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    1. Zarnowitz, Victor & Lambros, Louis A, 1987. "Consensus and Uncertainty in Economic Prediction," Journal of Political Economy, University of Chicago Press, vol. 95(3), pages 591-621, June.
    2. Ray C. Fair & Matthew D. Shapiro & Kathryn M. Dominguez, 1986. "Forecasting the Depression: Harvard Versus Yale," NBER Working Papers 2095, National Bureau of Economic Research, Inc.
    3. Solow, Robert M, 1985. "Economic History and Economics," American Economic Review, American Economic Association, vol. 75(2), pages 328-31, May.
    4. Rosanne Cole, 1969. "Errors In Provisional Estimates Of Gross National Product," NBER Books, National Bureau of Economic Research, Inc, number cole69-1, May.
    5. Vincent Su & Josephine Su, 1975. "An Evaluation of ASA/NBER Business Outlook Survey Forecasts," NBER Chapters, in: Explorations in Economic Research, Volume 2, number 4, pages 588-618 National Bureau of Economic Research, Inc.
    6. Zarnowitz, Victor, 1985. "Rational Expectations and Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 293-311, October.
    7. Emile Grunberg & Franco Modigliani, 1954. "The Predictability of Social Events," Journal of Political Economy, University of Chicago Press, vol. 62, pages 465.
    8. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
    9. Michael K. Evans & Yoel Haitovsky & George I. Treyz & Vincent Su, 1972. "An Analysis Of The Forecasting Properties Of U.S. Econometric Models," NBER Chapters, in: Econometric Models of Cyclical Behavior, Vols. 1 and 2, pages 949-1158 National Bureau of Economic Research, Inc.
    10. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
    11. Victor Zarnowitz, 1972. "The Business Cycle Today: An Introduction," NBER Chapters, in: Economic Research: Retrospect and Prospect Vol 1: The Business Cycle Today, pages 1-38 National Bureau of Economic Research, Inc.
    12. Victor Zarnowitz & Louis A. Lambros, 1983. "Consensus and Uncertainty in Economic Prediction," NBER Working Papers 1171, National Bureau of Economic Research, Inc.
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