Evaluating the forecast quality of GDP components
We assess and compare the quality of forecasts issued for Portugal, at several time spans. Our analysis, covering the 2002-2010 period, focuses on real GDP growth and the corresponding expenditure components. We use a scaled statistic to compare the forecast accuracy of GDP components with different volatility levels, and explore the contributions of expenditure components to the GDP forecast error. Moreover, we propose two new statistics – termed Mean of Total Weighted Absolute Error and Mean of Total Weighted Squared Error – to evaluate the overall accuracy of components' predictions. The results suggest that GDP forecasts are generally optimistic at longer horizons (1-year ahead predictions), mainly due to overly optimistic forecasts in investment and exports. At shorter horizons (same-year predictions), GDP forecasts are more accurate, but this is achieved with relatively large errors in components' predictions, whose effects tend to cancel out.
|Date of creation:||Oct 2011|
|Date of revision:||Oct 2011|
|Contact details of provider:|| Postal: Avenida da República no 79, 1050-243 Lisboa|
Phone: 21 799 81 50
Fax: 21 799 81 54
Web page: http://gee.min-economia.pt
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.:
- Stekler, H O, 1972. "An Analysis of Turning Point Forecasts," American Economic Review, American Economic Association, vol. 62(4), pages 724-29, September.
- Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
- Öller, Lars-Erik & Barot, Bharat, 2000.
"The Accuracy of European Growth and Inflation Forecasts,"
72, National Institute of Economic Research.
- Oller, Lars-Erik & Barot, Bharat, 2000. "The accuracy of European growth and inflation forecasts," International Journal of Forecasting, Elsevier, vol. 16(3), pages 293-315.
- 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.
- Prakash Loungani, 2000. "How Accurate Are Private Sector Forecasts; Cross-Country Evidence From Consensus Forecasts of Output Growth," IMF Working Papers 00/77, International Monetary Fund.
- Jacob A. Mincer, 1969. "Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance," NBER Books, National Bureau of Economic Research, Inc, number minc69-1, June.
- Hyndman, Rob J. & Koehler, Anne B., 2006.
"Another look at measures of forecast accuracy,"
International Journal of Forecasting,
Elsevier, vol. 22(4), pages 679-688.
- Rob J. Hyndman & Anne B. Koehler, 2005. "Another Look at Measures of Forecast Accuracy," Monash Econometrics and Business Statistics Working Papers 13/05, Monash University, Department of Econometrics and Business Statistics.
- Frederick L. Joutz, 1988. "Informational efficiency tests of quarterly macroeconometric GNP forecasts from 1976 to 1985," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 311-330, December.
- Wallis, Kenneth F, 1989. "Macroeconomic Forecasting: A Survey," Economic Journal, Royal Economic Society, vol. 99(394), pages 28-61, March.
- 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.
- Vuchelen, Jef & Gutierrez, Maria-Isabel, 2005. "A direct test of the information content of the OECD growth forecasts," International Journal of Forecasting, Elsevier, vol. 21(1), pages 103-117.
When requesting a correction, please mention this item's handle: RePEc:mde:wpaper:0041. 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: (Ricardo Pinheiro Alves)
If references are entirely missing, you can add them using this form.