Information or Institution?: On the Determinants of Forecast Accuracy
The accuracy of macroeconomic forecast depends on various factors, most importantly the mix of analytical methods used by the individual forecasters, the way that their personal experience is shaping their identification strategies, but also their efficiency in translating new information into revised forecasts. In this paper we use a broad sample of forecasts of German GDP and its components to analyze the impact of institutions and information on forecast accuracy. We find that forecast errors are a linear function of the forecast horizon, which serves as an indicator of the information available at the time a forecast is produced. This result is robust over a variety of different specifications. As better information seems to be the key to achieving better forecasts, approaches for acquiring reliable information early seem to be a good investment. By contrast, the institutional factors tend to be small and statistically insignificant. It has to remain open, whether this is the consequence of the efficiency-enhancing competition among German research institutions or rather the reflection of an abundance of forecast suppliers.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 231 (2011)
Issue (Month): 1 (February)
|Contact details of provider:|| Web page: https://www.degruyter.com|
|Order Information:||Web: https://www.degruyter.com/view/j/jbnst|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John P. Haisken-DeNew & Christoph M. Schmidt, "undated".
"Inter-Industry and Inter-Region Differentials: Mechanics and Interpretation,"
9504, SELAPO Center for Human Resources.
- John P. Haisken-DeNew & Christoph M. Schmidt, 2000. "Interindustry and Interregion Differentials: Mechanics and Interpretation," The Review of Economics and Statistics, MIT Press, vol. 79(3), pages 516-521, August.
- Klinger, Sabine & Heilemann, Ullrich, 2005. "Zu wenig Wettbewerb? Zu Stand und Entwicklung der Genauigkeit makroökonomischer Prognosen," Technical Reports 2005,16, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Isiklar, Gultekin & Lahiri, Kajal & Loungani, Prakash, 2006.
"How quickly do forecasters incorporate news? Evidence from cross-country surveys,"
22065, University Library of Munich, Germany.
- Kajal Lahiri & Gultekin Isiklar & Prakash Loungani, 2006. "How quickly do forecasters incorporate news? Evidence from cross-country surveys," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 703-725.
- Owen Lamont, 1995.
"Macroeconomics Forecasts and Microeconomic Forecasters,"
NBER Working Papers
5284, National Bureau of Economic Research, Inc.
- Lamont, Owen A., 2002. "Macroeconomic forecasts and microeconomic forecasters," Journal of Economic Behavior & Organization, Elsevier, vol. 48(3), pages 265-280, July.
- Schmidt, Torsten & Vosen, Simeon, 2009.
"Forecasting Private Consumption: Survey-based Indicators vs. Google Trends,"
Ruhr Economic Papers
155, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Simeon Vosen & Torsten Schmidt, 2011. "Forecasting private consumption: survey‐based indicators vs. Google trends," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(6), pages 565-578, September.
- Isiklar, Gultekin & Lahiri, Kajal, 2007.
"How far ahead can we forecast? Evidence from cross-country surveys,"
International Journal of Forecasting,
Elsevier, vol. 23(2), pages 167-187.
- Kajal Lahiri & Gultekin Isiklar, 2006. "How Far Ahead Can We Forecast? Evidence From Cross-country Surveys," Discussion Papers 06-04, University at Albany, SUNY, Department of Economics.
- Dopke, Jorg & Fritsche, Ulrich, 2006. "When do forecasters disagree? An assessment of German growth and inflation forecast dispersion," International Journal of Forecasting, Elsevier, vol. 22(1), pages 125-135.
- Jörg Döpke & Ulrich Fritsche, 2006. "Growth and inflation forecasts for Germany a panel-based assessment of accuracy and efficiency," Empirical Economics, Springer, vol. 31(3), pages 777-798, September.
- Wolfgang Nierhaus & Jan-Egbert Sturm, 2003. "Methoden der Konjunkturprognose," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(04), pages 7-23, 02.
When requesting a correction, please mention this item's handle: RePEc:jns:jbstat:v:231:y:2011:i:1:p:9-27. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.