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The Uncertainty of USA GDP Forecasts Determined by the Variables Aggregation


  • Mihaela BRATU

    () (Academy of Economic Studies, Faculty of Cybernetics, Statistics and Economic Informatics, Bucharest)


The aggregation of the variables that compose an indicator, as GDP, which should be forecasted, is not mentioned explicitly in literature as a source of forecasts uncertainty. In this study based on data on U.S. GDP and its components in 1995-2010, we found that GDP one-step-ahead forecasts made by aggregating the components with variable weights, modeled using ARMA procedure, have a higher accuracy than those with constant weights or the direct forecasts. Excepting the GDP forecasts obtained directly from the model, the onestep-ahead forecasts resulted from the GDP components’ forecasts aggregation are better than those made on an horizon of 3 years . The evaluation of this source of uncertainty should be considered for macroeconomic aggregates in order to choose the most accurate forecast.

Suggested Citation

  • Mihaela BRATU, 2011. "The Uncertainty of USA GDP Forecasts Determined by the Variables Aggregation," EuroEconomica, Danubius University of Galati, issue 30, pages 109-122, November.
  • Handle: RePEc:dug:journl:y:2011:i:30:p:109-122

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    References listed on IDEAS

    1. Bris, Arturo & Brisley, Neil & Cabolis, Christos, 2008. "Adopting better corporate governance: Evidence from cross-border mergers," Journal of Corporate Finance, Elsevier, vol. 14(3), pages 224-240, June.
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