Prognosegüte alternativer Früh Indikatoren für die Konjunktur in Deutschland / Forecasting Performance of Alternative Indicators for the German Economy
Analyses of the fit of forecasts should not only observe the forecast errors which are based on the estimation of the parameters but also those based on the uncertainty from selecting the specification of the forecasting model from the sample data. We argue that it is important to estimate the parameters and also the model selection recursively. In this paper we compare the forecasting ability of three important German business cycle indicators: the ifo business expectations, the ZEW business expectations and the „Earlybird“ Indicator published in „Wirtschaftswoche“. Our results show that the forecast errors are higher when using the more realistic recursive model selection instead of using the non-recursive specification. In certain cases the analysed business cycle indicators provide better forecasts than the naive forecast based on its own lagged values.
Volume (Year): 224 (2004)
Issue (Month): 6 (December)
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