The Informational Content 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).
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 857.
Length: 17 pages
Date of creation: Jan 1988
Date of revision:
Publication status: Published in Review of Economics and Statistics (May 1989), 71(2): 325-331
Note: CFP 736.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
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