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Has the Accuracy of German Macroeconomic Forecasts Improved?

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Author Info

  • Ullrich Heilemann

    (Univeristy of Leipzig)

  • Herman O. Stekler

    (Department of Economics The George Washington University)

Abstract

This paper asks whether the accuracy of German macroeconomic forecasts has improved over time. We examine one-year-ahead forecasts of rates of real GDP growth and inflation for the years 1967 to 2010 by three major German forecasters and the OECD. We find that overall error levels are high but not much different from those for the U.S. and U.K. In the 1980s and 1990s accuracy improved somewhat, but has now returned to its 1970s level, indicating that it reflects the variance of growth and inflation. Benchmark comparisons of these predictions with ex post forecasts of a macroecono-metric model indicate that accuracy can be improved but it will be difficult to achieve.

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File URL: http://www.gwu.edu/~forcpgm/2010-001.pdf
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Bibliographic Info

Paper provided by The George Washington University, Department of Economics, Research Program on Forecasting in its series Working Papers with number 2010-001.

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Length: 27 pages
Date of creation: Feb 2010
Date of revision: Feb 2012
Handle: RePEc:gwc:wpaper:2010-001

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Keywords: Forecast evaluations; macroeconomic forecasting; accuracy limits;

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References

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  1. Francis X. Diebold, 1997. "The Past, Present, and Future of Macroeconomic Forecasting," NBER Working Papers 6290, National Bureau of Economic Research, Inc.
  2. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper, Federal Reserve Bank of New York 9525, Federal Reserve Bank of New York.
  3. Batchelor, R A, 1990. "All Forecasters Are Equal," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(1), pages 143-44, January.
  4. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Paper, National Institute of Economic Research 72, National Institute of Economic Research.
  5. McNees, Stephen K., 1986. "Forecasting accuracy of alternative techniques: A comparison of US macroeconomic forecasts, with comment : Stephen K. McNees, with comment, Journal of Business and Economic Statistics 4 (1986) 5-23," International Journal of Forecasting, Elsevier, Elsevier, vol. 2(4), pages 497-498.
  6. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(3), pages 253-63, July.
  7. Nolte, Ingmar & Pohlmeier, Winfried, 2007. "Using forecasts of forecasters to forecast," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(1), pages 15-28.
  8. Ash, J. C. K. & Smyth, D. J. & Heravi, S. M., 1993. "The accuracy of OECD forecasts for Canada and the United States," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 4(2), pages 179-210.
  9. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 4(1), pages 5-15, January.
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  12. Litterman, Robert B, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 4(1), pages 17-19, January.
  13. Stekler, H. O., 1991. "Macroeconomic forecast evaluation techniques," International Journal of Forecasting, Elsevier, Elsevier, vol. 7(3), pages 375-384, November.
  14. Herman O. Stekler, 2008. "What Do We Know About G-7 Macro Forecasts?," Working Papers, The George Washington University, Department of Economics, Research Program on Forecasting 2008-009, The George Washington University, Department of Economics, Research Program on Forecasting.
  15. Granger, C W J, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 4(1), pages 16-17, January.
  16. Fildes, Robert & Stekler, Herman, 2002. "Reply to the comments on 'The state of macroeconomic forecasting'," Journal of Macroeconomics, Elsevier, Elsevier, vol. 24(4), pages 503-505, December.
  17. Spivey, W Allen, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 4(1), pages 19-22, January.
  18. Heilemann, Ullrich, 2002. "Increasing the transparency of macroeconometric forecasts: a report from the trenches," International Journal of Forecasting, Elsevier, Elsevier, vol. 18(1), pages 85-105.
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  21. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, Elsevier, vol. 24(4), pages 435-468, December.
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Citations

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Cited by:
  1. Ullrich Heilemann, 2004. "Besser geht's nicht - Genauigkeitsgrenzen von Konjunkturprognosen As Good as it Gets - Limits of Accuracy of Macroeconomic Short Term Forecasts," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 224(1-2), pages 51-64, February.
  2. Dopke, Jorg & Fritsche, Ulrich, 2006. "When do forecasters disagree? An assessment of German growth and inflation forecast dispersion," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(1), pages 125-135.
  3. Herman O. Stekler, 2008. "What Do We Know About G-7 Macro Forecasts?," Working Papers, The George Washington University, Department of Economics, Research Program on Forecasting 2008-009, The George Washington University, Department of Economics, Research Program on Forecasting.
  4. Ullrich Heilemann & Herman Stekler, 2010. "Perspectives on Evaluating Macroeconomic Forecasts," Working Papers, The George Washington University, Department of Economics, Research Program on Forecasting 2010-002, The George Washington University, Department of Economics, Research Program on Forecasting.

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