Growth forecasts using time series and growth models
The authors consider two alternative methods of forecasting real per capita GDP at various horizons: 1) univariate time series models estimated country by country; and 2) cross-country growth regressions. They evaluate the out-of-sample forecasting performance of both approaches for a large sample of industrial and developing countries. They find only modest differences between the two approaches. In almost all cases, differences in median (across countries) forecast performance are small relative to the large discrepancies between forecasts and actual outcomes. Interestingly, the performance of both models is similar to that of forecasts generated by the World Bank's Unified Survey. The results do not provide a compelling case for one approach over another, but they do indicate that there are potential gains from combining time series and growth-regression-based forecasting approaches.
|Date of creation:||30 Nov 1999|
|Contact details of provider:|| Postal: 1818 H Street, N.W., Washington, DC 20433|
Phone: (202) 477-1234
Web page: http://www.worldbank.org/
More information through EDIRC
References listed on IDEAS
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.:
- Arellano, Manuel & Bover, Olympia, 1995.
"Another look at the instrumental variable estimation of error-components models,"
Journal of Econometrics,
Elsevier, vol. 68(1), pages 29-51, July.
- M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
- Diebold, Francis X., 1989. "Forecast combination and encompassing: Reconciling two divergent literatures," International Journal of Forecasting, Elsevier, vol. 5(4), pages 589-592.
- Francis X. Diebold, 1989. "Forecast combination and encompassing: reconciling two divergent literatures," Finance and Economics Discussion Series 80, Board of Governors of the Federal Reserve System (U.S.).
- Diebold, Francis X & Kilian, Lutz, 2000. "Unit-Root Tests Are Useful for Selecting Forecasting Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 265-273, July.
- Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests are Useful for Selecting Forecasting Models," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-063, New York University, Leonard N. Stern School of Business-.
- Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests Are Useful for Selecting Forecasting Models," NBER Working Papers 6928, National Bureau of Economic Research, Inc.
- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423, September.
- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809, September.
- Michael J. Artis, 1996. "How Accurate Are the Imf's Short-Term Forecasts? Another Examination of the World Economic Outlook," IMF Working Papers 96/89, International Monetary Fund.
- James H. Stock & Mark W. Watson, 1998. "A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series," NBER Working Papers 6607, National Bureau of Economic Research, Inc.
- Vogelsang, Timothy J., 1997. "Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series," Econometric Theory, Cambridge University Press, vol. 13(06), pages 818-848, December.
- repec:cup:etheor:v:13:y:1997:i:6:p:818-49 is not listed on IDEAS
- Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March. Full references (including those not matched with items on IDEAS)