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Macroeconomic forecasts under the prism of error-correction models

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  • Angelos A. Antzoulatos

Abstract

When the error correction term exhibits persistence, its change may convey useful information about short-run economic dynamics, which, if not taken sufficiently into account by a forecasting model, could be associated with predictable forecast errors. Such errors are documented in the DRI forecasts for the U.S. consumption, GNP and imports. The strong results, together with the very general assumptions behind the theoretical framework, suggest that similar predictable errors may be pervasive in the forecasts of other large-scale econometric models. Key Words: Error Correction Models, Forecasting, Consumption, GNP, Imports.

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  • Angelos A. Antzoulatos, 1997. "Macroeconomic forecasts under the prism of error-correction models," Research Paper 9728, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednrp:9728
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    Cited by:

    1. Janda, Karel & Torkhani, Marouan, 2016. "Causality between energy, carbon, and economic growth: empirical evidence from the European Union," MPRA Paper 75440, University Library of Munich, Germany.

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