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Has the accuracy of German macroeconomic forecasts improved?

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  • Heilemann, Ullrich
  • Stekler, H. O.

Abstract

The major focus of this paper is to determine whether the accuracy of German macroeconomic forecasts has improved over time. We examine 1-year-ahead forecasts of real GDP and inflation for 1967 to 2001 made by three major German forecasting groups and the OECD. We examine the accuracy of the forecasts over the entire period and in three sub-periods. We conclude that, with some exceptions, the errors of the German forecasters were similar to those of their US and UK counterparts. While the absolute size of the forecast errors has declined, this is not the case for relative accuracy. A benchmark comparison of these predictions with the ex post forecasts of a macroeconometric model indicates that the quality of the growth forecasts can be improved but that the expected increase in accuracy may not be substantial. --

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Bibliographic Info

Paper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 2003,31.

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Date of creation: 2003
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Handle: RePEc:zbw:sfb475:200331

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Keywords: Forecast evaluations; macroeconomic forecasting; accuracy limits;

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References

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  1. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 23, January.
  2. 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, vol. 4(2), pages 179-210.
  3. 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, vol. 4(1), pages 16-17, January.
  4. Stekler, H. O., 1991. "Macroeconomic forecast evaluation techniques," International Journal of Forecasting, Elsevier, vol. 7(3), pages 375-384, November.
  5. Heilemann, Ullrich, 2002. "Increasing the transparency of macroeconometric forecasts: a report from the trenches," International Journal of Forecasting, Elsevier, vol. 18(1), pages 85-105.
  6. Francis X. Diebold, 1997. "The past, present, and future of macroeconomic forecasting," Working Papers 97-20, Federal Reserve Bank of Philadelphia.
  7. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Paper 72, National Institute of Economic Research.
  8. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
  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, vol. 4(1), pages 5-15, January.
  10. Fildes, Robert & Stekler, Herman, 2002. "Reply to the comments on 'The state of macroeconomic forecasting'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 503-505, December.
  11. Nolte, Ingmar & Pohlmeier, Winfried, 2007. "Using forecasts of forecasters to forecast," International Journal of Forecasting, Elsevier, vol. 23(1), pages 15-28.
  12. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
  13. Fintzen, David & Stekler, H. O., 1999. "Why did forecasters fail to predict the 1990 recession?," International Journal of Forecasting, Elsevier, vol. 15(3), pages 309-323, July.
  14. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
  15. repec:gwc:wpaper:2008-9 is not listed on IDEAS
  16. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
  17. 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, vol. 2(4), pages 497-498.
  18. 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, vol. 4(1), pages 17-19, January.
  19. Batchelor, R A, 1990. "All Forecasters Are Equal," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 143-44, January.
  20. Herman O. Stekler, 2008. "What Do We Know About G-7 Macro Forecasts?," Working Papers 2008-009, The George Washington University, Department of Economics, Research Program on Forecasting.
  21. 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, vol. 4(1), pages 19-22, January.
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Citations

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Cited by:
  1. Herman O. Stekler, 2008. "What Do We Know About G-7 Macro Forecasts?," Working Papers 2008-009, The George Washington University, Department of Economics, Research Program on Forecasting.
  2. 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, vol. 224(1-2), pages 51-64, February.
  3. Ullrich Heilemann & Herman Stekler, 2010. "Perspectives on Evaluating Macroeconomic Forecasts," Working Papers 2010-002, The George Washington University, Department of Economics, Research Program on Forecasting.
  4. Dopke, Jorg & Fritsche, Ulrich, 2006. "When do forecasters disagree? An assessment of German growth and inflation forecast dispersion," International Journal of Forecasting, Elsevier, vol. 22(1), pages 125-135.

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