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The state of macroeconomic forecasting

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Author Info
Robert Fildes
Herman Stekler

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Abstract

Macroeconomic forecasts are used extensively in industry and government The historical accuracy of US and UK forecasts are examined in the light of different approaches to evaluating macro forecasts. Issues discussed include the comparative accuracy of macroeconometric models compared to their time series alternatives, whether the forecasting record has improved over time, the rationality of macroeconomic forecasts and how a forecasting service should be chosen. The role of judgement in producing the forecasts is also considered where the evidence unequivocally favors such interventions. Finally the use of macroeconomic forecasts and their effectiveness is discussed. The conclusion drawn is that researchers have paid too little attention to the issue of improving the forecasting accuracy record. Areas where improvements would be particularly valuable are highlighted.

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Paper provided by Lancaster University Management School, Economics Department in its series Working Papers with number 000020.

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Date of creation: 1999
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Handle: RePEc:lan:wpaper:000020

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Related research
Keywords: econometric models; macroeconomic forecasting; rationality; forecast evaluation; structural breaks; cliometrics; industry structure;

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  1. Gabriel Moser & Fabio Rumler & Johann Scharler, 2004. "Forecasting Austrian Inflation," Working Papers 91, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
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  2. Esa Mangeloja, 2003. "Structural testing of Business Cycles," Macroeconomics 0308004, EconWPA. [Downloadable!]
  3. Guillaume Chevillon, 2005. "Direct multi-step estimation and forecasting," Documents de Travail de l'OFCE 2005-10, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
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  4. P.H.B.F. Franses, 2003. "Do we make better forecasts these days? A survey amongst academics," Econometric Institute Report 310, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  5. Barot, Bharat, 2007. "Empirical Studies in Consumption, House Prices and the Accuracy of European Growth and Inflation Forecasts," Working Paper 98, National Institute of Economic Research. [Downloadable!]
  6. Jan Babecky & Jiri Podpiera, 2008. "Inflation Forecasts Errors in the Czech Republic: Evidence from a Panel of Institutions," Occasional Publications - Chapters in Edited Volumes, in: Katerina Smidkova (ed.), Evaluation of the Fulfilment of the CNB's Inflation Targets 1998-2007, chapter 6, pages 77-85 Czech National Bank, Research Department. [Downloadable!]
  7. Paul Gallimore & Pat McAllister, 2005. "The Production and Consumption of Commercial Real Estate Market Forecasts," Real Estate & Planning Working Papers rep-wp2005-06, Henley Business School, Reading University. [Downloadable!]
  8. Guillaume Chevillon & David F. Hendry, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Papers 2004-W12, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  9. Kunst, Robert M., 2003. "Testing for Relative Predictive Accuracy: A Critical Viewpoint," Economics Series 130, Institute for Advanced Studies. [Downloadable!]
  10. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Paper 72, National Institute of Economic Research. [Downloadable!]
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  11. Kajal Lahiri & Gultekin Isiklar & Prakash Loungani, 2006. "How quickly do forecasters incorporate news? Evidence from cross-country surveys," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 703-725. [Downloadable!]
  12. John Barkoulas & Christopher F. Baum, 2003. "Long-Memory Forecasting of U.S. Monetary Indices," Boston College Working Papers in Economics 558, Boston College Department of Economics. [Downloadable!]
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  13. António Brandão Moniz, 2008. "Assessing scenarios on the future of work," Enterprise and Work Innovation Studies, Universidade Nova de Lisboa, IET-Research Center on Enterprise and Work Innovation, Faculty of Science and Technology, vol. 4(4), pages 91-106, November. [Downloadable!]
  14. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics. [Downloadable!]
  15. Guillaume Chevillon & David Hendry, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers 196, University of Oxford, Department of Economics. [Downloadable!]
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  16. Joerg Doepke & Ulrich Fritsche & Boriss Siliverstovs, 2009. "Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function," Macroeconomics and Finance Series 200905, Hamburg University, Department Wirtschaft und Politik. [Downloadable!]
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  17. Kappler, Marcus, 2007. "Projecting the Medium-Term: Outcomes and Errors for GDP Growth," ZEW Discussion Papers 07-068, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  18. Jef Vuchelen & Maria-Isabel Gutierrez, 2005. "Do the OECD 24 month horizon growth forecasts for the G7--countries contain information?," Applied Economics, Taylor and Francis Journals, vol. 37(8), pages 855-862, May. [Downloadable!] (restricted)
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