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Prognosegüte alternativer Früh Indikatoren für die Konjunktur in Deutschland / Forecasting Performance of Alternative Indicators for the German Economy

Author

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  • Benner Joachim
  • Meier Carsten-Patrick

    (Institut für Weltwirtschaft an der Universität Kiel, Deutsche Konjunktur, Düsternbrooker Weg 120, D-24105 Kiel. Tel.: ++49/+4 31/ 8 8141, Fax: +-M9/+4 31/8 8145 25, Germany)

Abstract

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.

Suggested Citation

  • Benner Joachim & Meier Carsten-Patrick, 2004. "Prognosegüte alternativer Früh Indikatoren für die Konjunktur in Deutschland / Forecasting Performance of Alternative Indicators for the German Economy," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(6), pages 639-652, December.
    • Handle: RePEc:jns:jbstat:v:224:y:2004:i:6:p:639-652
    DOI: 10.1515/jbnst-2004-0602
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    References listed on IDEAS

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    8. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
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    2. Drechsel, Katja & Scheufele, Rolf, 2012. "The performance of short-term forecasts of the German economy before and during the 2008/2009 recession," International Journal of Forecasting, Elsevier, vol. 28(2), pages 428-445.

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