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Regional econometric income forecast accuracy

  • Roberto Tinajero

    (University of Texas at El Paso, USA)

  • Thomas M. Fullerton

    (University of Texas at El Paso, USA)

  • Lawrence Waldman

    (University of New Mexico, USA)

Econometric prediction accuracy for personal income forecasts is examined for a region of the United States. Previously published regional structural equation model (RSEM) forecasts exist ex ante for the state of New Mexico and its three largest metropolitan statistical areas: Albuquerque, Las Cruces and Santa Fe. Quarterly data between 1983 and 2000 are utilized at the state level. For Albuquerque, annual data from 1983 through 1999 are used. For Las Cruces and Santa Fe, annual data from 1990 through 1999 are employed. Univariate time series, vector autoregressions and random walks are used as the comparison criteria against structural equation simulations. Results indicate that ex ante RSEM forecasts achieved higher accuracy than those simulations associated with univariate ARIMA and random walk benchmarks for the state of New Mexico. The track records of the structural econometric models for Albuquerque, Las Cruces and Santa Fe are less impressive. In some cases, VAR benchmarks prove more reliable than RSEM income forecasts. In other cases, the RSEM forecasts are less accurate than random walk alternatives. Copyright © 2005 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.947
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 24 (2005)
Issue (Month): 5 ()
Pages: 325-333

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Handle: RePEc:jof:jforec:v:24:y:2005:i:5:p:325-333
DOI: 10.1002/for.947
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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  1. Roy H. Webb, 1984. "Vector autoregressions as a tool for forecast evaluations," Economic Review, Federal Reserve Bank of Richmond, issue Jan, pages 3-11.
  2. Thomas M. Fullerton Jr. & Carol T. West, 2004. "Regional Econometric Housing Start Forecast Accuracy in Florida," Urban/Regional 0403004, EconWPA.
  3. Mizrach, Bruce, 1992. "The distribution of the Theil U-statistic in bivariate normal populations," Economics Letters, Elsevier, vol. 38(2), pages 163-167, February.
  4. Ashley, Richard, 1988. "On the relative worth of recent macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 4(3), pages 363-376.
  5. Fullerton, Thomas Jr. & Laaksonen, Mika M. & West, Carol T., 2001. "Regional multi-family housing start forecast accuracy," International Journal of Forecasting, Elsevier, vol. 17(2), pages 171-180.
  6. Lupoletti, William M & Webb, Roy H, 1986. "Defining and Improving the Accuracy of Macroeconomic Forecasts: Contributions from a VAR Model," The Journal of Business, University of Chicago Press, vol. 59(2), pages 263-85, April.
  7. Fisher, Paul G. & Wallis, Kenneth F., 1990. "The historical tracking performance of UK macroeconometric models 1978-1985," Economic Modelling, Elsevier, vol. 7(2), pages 179-197, April.
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