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The Assessment of Some Macroeconomic Forecasts for Spain using Aggregated Accuracy Indicators

Author

Listed:
  • Lucian Liviu ALBU

    (Institute for Economic Forecasting of the Romanian Academy)

  • Carlos MatéJIMÉNEZ

    (Institute for Technological Research and Pontifical Comillas University. Madrid. Spain)

  • Mihaela SIMIONESCU

    (Institute for Economic Forecasting of the Romanian Academy)

Abstract

In this study, a new accuracy measure is introduced to solve an important practical problem in assessing the forecast accuracy: different predictions’ accuracy measures indicate different forecasts as the most accurate. The proposed accuracy measure, called the S indicator, is based on three dimensions of the forecasts accuracy: the summary statistics that take into account the size error, which were aggregated using the S1 indicator, the accuracy measures used in forecasts comparisons that are summarized using the S2 indicator and the directional and sign accuracy based on the S3 measure. For the Spanish inflation, the real GDP rate and the unemployment rate a comparative analysis of accuracy was made for predictions provided over the recent crisis period (2008-2013) by Bank of Spain, European Commission (EC), Organization for Economic Cooperation and Development (OECD) and International Monetary Fund (IMF). Own inflation rate and real GDP rate predictions based on a moving average model, and a auto-regressive moving average model, respectively, outperformed the experts’ anticipations.

Suggested Citation

  • Lucian Liviu ALBU & Carlos MatéJIMÉNEZ & Mihaela SIMIONESCU, 2015. "The Assessment of Some Macroeconomic Forecasts for Spain using Aggregated Accuracy Indicators," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 30-47, June.
    • Handle: RePEc:rjr:romjef:v::y:2015:i:2:p:30-47
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    References listed on IDEAS

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    2. Dimitar EFTIMOSKI, 2019. "Improving Short-Term Forecasting of Macedonian GDP: Comparing the Factor Model with the Macroeconomic Structural Equation Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 32-53, June.

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    More about this item

    Keywords

    forecasts accuracy; error; inflation rate; unemployment rate; real GDP rate;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions

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