Besser geht’s nicht – Genauigkeitsgrenzen von Konjunkturprognosen / As Good as it Gets – Limits of Accuracy of Macroeconomic Short Term Forecasts
The paper aims at determining upper boundaries of accuracy (“error minima”) for German macroeconomic forecasts. The study is based on simulations with the RWI-model, a medium sized macroeconometric model for the FRG. A first upper limit of forecast accuracy is fixed by the accuracy of predetermined variables and outside sample stability of model relationships. Further limits are found by a decomposition of model forecast errors into “equation errors”, “model errors” and “errors of dynamics”. For forecasts of growth and inflation the model simulations suggest that (1) present forecast errors do not seem to have much potential for improvement; (2) primarily this potential seems to lie on the single equation level.
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Volume (Year): 224 (2004)
Issue (Month): 1-2 (February)
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- Heilemann, Ullrich & Stekler, H. O., 2003.
"Has the accuracy of German macroeconomic forecasts improved?,"
2003,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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- Hendry, David F. & Clements, Michael P., 2001. "Economic forecasting: some lessons from recent research," Working Paper Series 0082, European Central Bank.
- David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 78, University of Oxford, Department of Economics.
- Hendry, David F & Michael P. Clements, 2002. "Economic Forecasting: Some Lessons from Recent Research," Royal Economic Society Annual Conference 2002 99, Royal Economic Society.
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72, National Institute of Economic Research.
- Oller, Lars-Erik & Barot, Bharat, 2000. "The accuracy of European growth and inflation forecasts," International Journal of Forecasting, Elsevier, vol. 16(3), pages 293-315.
- Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
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