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What Do We Know About G-7 Macro Forecasts?

Author Info

Listed author(s):
  • Herman O. Stekler

    ()

    (Department of Economics The George Washington University)

Abstract

Fildes and Stekler’s (2002) survey of the state of knowledge about the quality of economic forecasts focused primarily on US and UK data. This paper will draw on some of their findings but it will not examine any additional US forecasts. The purpose is to determine whether their results are robust by examining the predictions of other countries. The focus will be on (1) directional errors, (2) the magnitude of the errors made in estimating growth and inflation, (3) whether there were biases and systematic errors, (4) the sources of the errors and (5) whether there has been an improvement in forecasting ability.

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File URL: https://www2.gwu.edu/~forcpgm/2008-009.pdf
File Function: First version, 2008
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Paper provided by The George Washington University, Department of Economics, Research Program on Forecasting in its series Working Papers with number 2008-009.

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Length: 8 pages
Date of creation: Aug 2008
Handle: RePEc:gwc:wpaper:2008-009
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Keywords: G7 forecasts; evaluation techniques;

Find related papers by JEL classification:

  • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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  1. 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.
  2. Masahiro Ashiya, 2003. "The directional accuracy of 15-months-ahead forecasts made by the IMF," Applied Economics Letters, Taylor & Francis Journals, vol. 10(6), pages 331-333.
  3. Wallis, Kenneth F., 2003. "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," International Journal of Forecasting, Elsevier, vol. 19(2), pages 165-175.
  4. Ash, J. C. K. & Smyth, D. J. & Heravi, S. M., 1998. "Are OECD forecasts rational and useful?: a directional analysis," International Journal of Forecasting, Elsevier, vol. 14(3), pages 381-391, September.
  5. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
  6. Batchelor, Roy, 2007. "Bias in macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 23(2), pages 189-203.
  7. 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.
  8. James H. Stock & Mark W. Watson, 2007. "Why Has U.S. Inflation Become Harder to Forecast?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 3-33, 02.
  9. Loungani, Prakash, 2001. "How accurate are private sector forecasts? Cross-country evidence from consensus forecasts of output growth," International Journal of Forecasting, Elsevier, vol. 17(3), pages 419-432.
  10. 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.
  11. Gianna Boero & Jeremy Smith & KennethF. Wallis, 2008. "Uncertainty and Disagreement in Economic Prediction: The Bank of England Survey of External Forecasters," Economic Journal, Royal Economic Society, vol. 118(530), pages 1107-1127, 07.
  12. Ashiya, Masahiro, 2003. "Testing the rationality of Japanese GDP forecasts: the sign of forecast revision matters," Journal of Economic Behavior & Organization, Elsevier, vol. 50(2), pages 263-269, February.
  13. Michael P. Clements, 2004. "Evaluating the Bank of England Density Forecasts of Inflation," Economic Journal, Royal Economic Society, vol. 114(498), pages 844-866, October.
  14. Fildes, Robert & Stekler, Herman, 2002. "Reply to the comments on 'The state of macroeconomic forecasting'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 503-505, December.
  15. Graham Elliott & Allan Timmermann, 2016. "Economic Forecasting," Economics Books, Princeton University Press, edition 1, number 10740.
  16. Ash, J. C. K. & Smyth, D. J. & Heravi, S. M., 1990. "The accuracy of OECD forecasts of the international economy : Demand, output and prices," International Journal of Forecasting, Elsevier, vol. 6(3), pages 379-392, October.
  17. Lukas Vogel, 2007. "How do the OECD Growth Projections for the G7 Economies Perform?: A Post-Mortem," OECD Economics Department Working Papers 573, OECD Publishing.
  18. Ager, P. & Kappler, M. & Osterloh, S., 2009. "The accuracy and efficiency of the Consensus Forecasts: A further application and extension of the pooled approach," International Journal of Forecasting, Elsevier, vol. 25(1), pages 167-181.
  19. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
  20. Heilemann, Ullrich & Stekler, H. O., 2003. "Has the accuracy of German macroeconomic forecasts improved?," Technical Reports 2003,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  21. James H. Stock & Mark W. Watson, 2007. "Erratum to "Why Has U.S. Inflation Become Harder to Forecast?"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1849-1849, October.
  22. Öller, Lars-Erik & Barot, Bharat, 1999. "Comparing the Accuracy of European GDP Forecasts," Working Papers 64, National Institute of Economic Research.
  23. Roy Batchelor, 2007. "Forecaster Behaviour and Bias in Macroeconomic Forecasts," ifo Working Paper Series Ifo Working Paper No. 39, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  24. Jordi Pons, 2001. "The rationality of price forecasts: a directional analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 287-290.
  25. Heilemann, Ullrich, 2002. "Increasing the transparency of macroeconometric forecasts: a report from the trenches," International Journal of Forecasting, Elsevier, vol. 18(1), pages 85-105.
  26. Bryan Campbell & Steve Murphy, 2006. "The Recent Performance of the Canadian Forecasting Industry," Canadian Public Policy, University of Toronto Press, vol. 32(1), pages 23-40, March.
  27. Ashiya, Masahiro, 2006. "Forecast accuracy and product differentiation of Japanese Institutional Forecasters," International Journal of Forecasting, Elsevier, vol. 22(2), pages 395-401.
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Cited by:

  1. Heilemann, Ullrich & Stekler, H. O., 2003. "Has the accuracy of German macroeconomic forecasts improved?," Technical Reports 2003,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  2. Ullrich Heilemann & Herman Stekler, 2010. "Perspectives on Evaluating Macroeconomic Forecasts," Working Papers 2010-002, The George Washington University, Department of Economics, Research Program on Forecasting.

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