The track record of the Commission's forecasts - an update
This paper has updated the assessment of the Commission's forecasts' track record from 1999 by extending the observation period from 1969-1997 to also take into account the forecasts and outcome for the years 1998-2005. This update has also included some further tests on e.g. informational efficiency and undertaken a comparison with the forecasts of other international institutions and those of market participants. The tests were carried out on the forecasts for real GDP growth, total investment, inflation, the unemployment rate, the general government balance and the current account to GDP ratio. Data have been processed in a broadly similar manner compared to the study of 1999 to ensure comparability to the greatest degree possible. Overall, the Commission's forecasts continue to dispose a reasonable track record. For instance, the forecast error for the GDP forecast, as measured by the mean absolute error, has improved by 0.03 percentage point (pp.) to 0.5 pp. for the current-year outlook and by 0.08 pp. to 0.86 pp. for the year ahead. This implies that the Commission's forecasts for GDP growth has, on average, proven to be 0.5 pp. too high / low for the current year. Forecasts for the EU generally seem to be unbiased, efficient and display a high success rate for directional accuracy. The same holds true for the outlook for most Member States, although there are individual examples to the contrary. Moreover, in view of the importance of the international environment in explaining past forecast errors, it is reassuring to note that the forecasts for the largest non-EU countries generally seem to perform well. Finally, the Commission's forecasts' track record for GDP is broadly comparable with the ones of Consensus, the IMF and the OECD.
|Date of creation:||Oct 2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Fax: +32 2 298.08.23
Web page: http://ec.europa.eu/economy_finance/index_en.htm
More information through EDIRC
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.:
- Russell Davidson & James MacKinnon, 2000.
"Bootstrap tests: how many bootstraps?,"
Taylor & Francis Journals, vol. 19(1), pages 55-68.
- Bruce E. Hansen, 1999.
"The Grid Bootstrap And The Autoregressive Model,"
The Review of Economics and Statistics,
MIT Press, vol. 81(4), pages 594-607, November.
- GONÇALVES, Silvia & KILIAN, Lutz, 2003.
"Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form,"
Cahiers de recherche
2003-01, Universite de Montreal, Departement de sciences economiques.
- Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
- Gonçalves, Sílvia & Kilian, Lutz, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 0196, European Central Bank.
- Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank, Research Centre.
- Sílvia Gonçalves & Lutz Kilian, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers 2003s-17, CIRANO.
- Gonçalves, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Nicholas M. Kiefer & Timothy J. Vogelsang & Helle Bunzel, 2000.
"Simple Robust Testing of Regression Hypotheses,"
Econometric Society, vol. 68(3), pages 695-714, May.
- James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
- Allan Timmermann, 2007.
"An Evaluation of the World Economic Outlook Forecasts,"
IMF Staff Papers,
Palgrave Macmillan, vol. 54(1), pages 1-33, May.
- Allan Timmermann, 2006. "An Evaluation of the World Economic Outlook Forecasts," IMF Working Papers 06/59, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:euf:ecopap:0291. 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: (ECFIN INFO)
If references are entirely missing, you can add them using this form.