IDEAS home Printed from https://ideas.repec.org/p/euf/ecopap/0291.html
   My bibliography  Save this paper

The track record of the Commission's forecasts - an update

Author

Listed:
  • A. Melander
  • G. Sismanidis
  • D. Grenouilleau

Abstract

This paper has updated the assessment of the Commission's forecasts' track record from 1999 by extending the observation period from 1969-1997 to also take into account the forecasts and outcome for the years 1998-2005. This update has also included some further tests on e.g. informational efficiency and undertaken a comparison with the forecasts of other international institutions and those of market participants. The tests were carried out on the forecasts for real GDP growth, total investment, inflation, the unemployment rate, the general government balance and the current account to GDP ratio. Data have been processed in a broadly similar manner compared to the study of 1999 to ensure comparability to the greatest degree possible. Overall, the Commission's forecasts continue to dispose a reasonable track record. For instance, the forecast error for the GDP forecast, as measured by the mean absolute error, has improved by 0.03 percentage point (pp.) to 0.5 pp. for the current-year outlook and by 0.08 pp. to 0.86 pp. for the year ahead. This implies that the Commission's forecasts for GDP growth has, on average, proven to be 0.5 pp. too high / low for the current year. Forecasts for the EU generally seem to be unbiased, efficient and display a high success rate for directional accuracy. The same holds true for the outlook for most Member States, although there are individual examples to the contrary. Moreover, in view of the importance of the international environment in explaining past forecast errors, it is reassuring to note that the forecasts for the largest non-EU countries generally seem to perform well. Finally, the Commission's forecasts' track record for GDP is broadly comparable with the ones of Consensus, the IMF and the OECD.

Suggested Citation

  • A. Melander & G. Sismanidis & D. Grenouilleau, 2007. "The track record of the Commission's forecasts - an update," European Economy - Economic Papers 2008 - 2015 291, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  • Handle: RePEc:euf:ecopap:0291
    as

    Download full text from publisher

    File URL: https://ec.europa.eu/economy_finance/publications/pages/publication9291_en.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Bruce E. Hansen, 1999. "The Grid Bootstrap And The Autoregressive Model," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
    2. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 35(4), pages 615-645, November.
    3. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
    4. Nicholas M. Kiefer & Timothy J. Vogelsang & Helle Bunzel, 2000. "Simple Robust Testing of Regression Hypotheses," Econometrica, Econometric Society, vol. 68(3), pages 695-714, May.
    5. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 55-68.
    6. Daniel Grenouilleau, 2006. "The Stacked Leading Indicators Dynamic Factor Model: A Sensitivity Analysis of Forecast Accuracy using Bootstrapping," European Economy - Economic Papers 2008 - 2015 249, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    7. Mr. Allan Timmermann, 2006. "An Evaluation of the World Economic Outlook Forecasts," IMF Working Papers 2006/059, International Monetary Fund.
    8. Allan Timmermann, 2007. "An Evaluation of the World Economic Outlook Forecasts," IMF Staff Papers, Palgrave Macmillan, vol. 54(1), pages 1-33, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Teresa Leal & Javier J. Pérez & Mika Tujula & Jean-Pierre Vidal, 2008. "Fiscal Forecasting: Lessons from the Literature and Challenges," Fiscal Studies, Institute for Fiscal Studies, vol. 29(3), pages 347-386, September.
    2. Afonso, António & Nunes, Ana Sofia, 2015. "Economic forecasts and sovereign yields," Economic Modelling, Elsevier, vol. 44(C), pages 319-326.
    3. Mihaela Simionescu (Bratu), 2014. "The Performance of Predictions Based on the Dobrescu Macromodel for the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 179-195, October.
    4. SIMIONESCU, Mihaela, 2014. "Assessing The Forecasts Accuracy Of The Weight Of Fiscal Revenues In Gdp For Romania," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 18(3), pages 8-24.
    5. Merola, Rossana & Pérez, Javier J., 2013. "Fiscal forecast errors: Governments versus independent agencies?," European Journal of Political Economy, Elsevier, vol. 32(C), pages 285-299.
    6. Grant Allan, 2012. "Evaluating the usefulness of forecasts of relative growth," Working Papers 1214, University of Strathclyde Business School, Department of Economics.
    7. Carriero, Andrea & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2015. "Macroeconomic information, structural change, and the prediction of fiscal aggregates," International Journal of Forecasting, Elsevier, vol. 31(2), pages 325-348.
    8. Lucian Liviu ALBU & Carlos MatéJIMÉNEZ & Mihaela SIMIONESCU, 2015. "The Assessment of Some Macroeconomic Forecasts for Spain using Aggregated Accuracy Indicators," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 30-47, June.
    9. Giovannelli, Alessandro & Pericoli, Filippo Maria, 2020. "Are GDP forecasts optimal? Evidence on European countries," International Journal of Forecasting, Elsevier, vol. 36(3), pages 963-973.
    10. Ildeberta Abreu, 2011. "International organisations’ vs. private analysts’ forecasts: an evaluation," Working Papers w201120, Banco de Portugal, Economics and Research Department.
    11. Döhrn, Roland, 2015. "Prognosen für 2015 im Rückblick," RWI Konjunkturberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, vol. 66(4), pages 35-46.
    12. Carlos Fonseca Marinheiro, 2010. "Fiscal sustainability and the accuracy of macroeconomic forecasts: do supranational forecasts rather than government forecasts make a difference?," GEMF Working Papers 2010-07, GEMF, Faculty of Economics, University of Coimbra.
    13. António Afonso & Jorge Silva, 2015. "The track record of fiscal forecasting in the EU," Economics Bulletin, AccessEcon, vol. 35(2), pages 1318-1329.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Davidson, Russell & MacKinnon, James G., 2007. "Improving the reliability of bootstrap tests with the fast double bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3259-3281, April.
    2. Emmanuel Flachaire, 2005. "More Efficient Tests Robust to Heteroskedasticity of Unknown Form," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 219-241.
    3. JAMES G. MacKINNON, 2006. "Bootstrap Methods in Econometrics," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages 2-18, September.
    4. Kim, Jae H. & Silvapulle, Param & Hyndman, Rob J., 2007. "Half-life estimation based on the bias-corrected bootstrap: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3418-3432, April.
    5. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Paper 1127, Economics Department, Queen's University.
    6. M.L. Nores & M.P. Díaz, 2016. "Bootstrap hypothesis testing in generalized additive models for comparing curves of treatments in longitudinal studies," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(5), pages 810-826, April.
    7. Donald W. K. Andrews & Patrik Guggenberger, 2014. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," The Review of Economics and Statistics, MIT Press, vol. 96(2), pages 376-381, May.
    8. repec:ebl:ecbull:v:30:y:2010:i:1:p:55-66 is not listed on IDEAS
    9. Dong Ding & Axel Gandy & Georg Hahn, 2020. "A simple method for implementing Monte Carlo tests," Computational Statistics, Springer, vol. 35(3), pages 1373-1392, September.
    10. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
    11. Andrews, Donald W.K. & Guggenberger, Patrik, 2012. "Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 169(2), pages 196-210.
    12. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
    13. Bourmpoula, Evangelia. & Wieser, Christina., 2014. "An accuracy assessment of the global employment trends' unemployment rate forecasts," Global Employment Trends Reports 994888903402676, International Labour Office, Economic and Labour Market Analysis Department.
    14. Nikolay Gospodinov & Ye Tao, 2011. "Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 379-405, August.
    15. Inoue, Atsushi & Kilian, Lutz, 2020. "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, vol. 215(2), pages 450-472.
    16. MacKinnon, James G. & Nielsen, Morten Ørregaard & Webb, Matthew D., 2023. "Cluster-robust inference: A guide to empirical practice," Journal of Econometrics, Elsevier, vol. 232(2), pages 272-299.
    17. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    18. repec:ilo:ilowps:488890 is not listed on IDEAS
    19. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
    20. repec:lan:wpaper:2454 is not listed on IDEAS
    21. repec:lan:wpaper:2375 is not listed on IDEAS
    22. Philip Inyeob Ji & Sangbae Kim, 2013. "Mean-reversion in closed-end fund discount: evidence from half-life," Applied Economics, Taylor & Francis Journals, vol. 45(32), pages 4503-4515, November.
    23. Gospodinov, Nikolay, 2002. "Median unbiased forecasts for highly persistent autoregressive processes," Journal of Econometrics, Elsevier, vol. 111(1), pages 85-101, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:euf:ecopap:0291. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ECFIN INFO (email available below). General contact details of provider: https://edirc.repec.org/data/dg2ecbe.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.