A New Approach For Evaluating Economic Forecasts
AbstractThis paper presents a new approach to evaluating multiple economic forecasts. In the past, evaluations have focused on the forecasts of individual variables. However, many macroeconomic variables are forecast at the same time and are used together to describe the state of the economy. It is, therefore, appropriate to examine those forecasts jointly. This specific approach is based on the Sinclair and Stekler (forthcoming) analysis of data revisions. The main contributions of this paper are (1) the application of this technique to the Survey of Professional Forecasters (SPF) and (2) showing that there is a bias that is associated with the stages of the business cycle.
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Bibliographic InfoPaper provided by The George Washington University, Institute for International Economic Policy in its series Working Papers with number 2012-2.
Length: 12 pages
Date of creation: Feb 2012
Date of revision:
Forecast Evaluation; Survey of Professional Forecasts; Business Cycle; Mahalanobis Distance;
Other versions of this item:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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