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Besser geht's nicht - Genauigkeitsgrenzen von Konjunkturprognosen As Good as it Gets - Limits of Accuracy of Macroeconomic Short Term Forecasts

  • Ullrich Heilemann

    ()

    (RWI Essen)

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    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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    Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

    Volume (Year): 224 (2004)
    Issue (Month): 1-2 (February)
    Pages: 51-64

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    Handle: RePEc:jns:jbstat:v:224:y:2004:i:1-2:p:51-64
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    1. Wallis, Kenneth F., 2001. "Chi-squared tests of interval and density forecasts and the Bank of England's fan charts," Working Paper Series 0083, European Central Bank.
    2. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Paper 72, National Institute of Economic Research.
    3. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford.
    4. Ullrich Heilemann & Herman O. Stekler, 2010. "Has the Accuracy of German Macroeconomic Forecasts Improved?," Working Papers 2010-001, The George Washington University, Department of Economics, Research Program on Forecasting, revised Feb 2012.
    5. 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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