IDEAS home Printed from https://ideas.repec.org/p/sza/wpaper/wpapers199.html
   My bibliography  Save this paper

Comparing the BER’s forecasts

Author

Listed:
  • Nicolaas van der Wath

    () (Bureau for Economic Research)

Abstract

The Bureau for Economic Research publishes annual (and quarterly) forecasts for more than 140 macroeconomic indicators, with a forecasting horizon stretching up to 6 years ahead. These forecasts are generated with the aid of a structural macro-econometric model of the South African economy. The purpose of this re-search note is to test the accuracy of the BER’s forecasts. Also to compare them with other published forecasts according to accuracy, forecast horizon and number of indicators. To determine the level of accuracy, we have calculated the mean absolute errors and the root mean squared errors of the BER’s forecasts for a selection of five economic indicators. These statistics were also calculated for the forecasts of the selected other institutions or models. From these the relative accuracy of the different forecasts were compared to each other and ranked ac-cordingly. The consensus forecast turned out to be the most accurate for the im-mediate year, followed with a narrow margin by the BER. The close proximity of these two forecasts is striking. Other conclusions are that structural forecasting models perform better than mechanical ones for the first two years, but lose their accuracy advantage from the third or fourth year onwards. They also fail to antic-ipate critical turning points in economic cycles.

Suggested Citation

  • Nicolaas van der Wath, 2013. "Comparing the BER’s forecasts," Working Papers 23/2013, Stellenbosch University, Department of Economics.
  • Handle: RePEc:sza:wpaper:wpapers199
    as

    Download full text from publisher

    File URL: https://www.ekon.sun.ac.za/wpapers/2013/wp232013/wp-23-2013.pdf
    File Function: First version, 2013
    Download Restriction: no

    References listed on IDEAS

    as
    1. Philip Hans Franses & Rianne Legerstee & Richard Paap, 2017. "Estimating loss functions of experts," Applied Economics, Taylor & Francis Journals, vol. 49(4), pages 386-396, January.
    2. David Mortimer Krainz, 2011. "An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA," WIFO Working Papers 399, WIFO.
    3. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    4. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
    5. Jan Kmenta & James B. Ramsey, 1980. "Evaluation of Econometric Models," NBER Books, National Bureau of Economic Research, Inc, number kmen80-1, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nicolaas van der Wath, 2016. "Gauging financial conditions in South Africa," Working Papers 10/2016, Stellenbosch University, Department of Economics.

    More about this item

    Keywords

    forecast comparison; forecast accuracy; forecast evaluation; consen-sus forecast; Theil coefficients; mean absolute error; root mean squared error; loss function;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sza:wpaper:wpapers199. 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: (Melt van Schoor). General contact details of provider: http://edirc.repec.org/data/desunza.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.