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Evaluating Macroeconomic Forecasts : A Review of Some Recent Developments
http://hdl.handle.net/2261/35804
http://hdl.handle.net/2261/35804a1ab9345-0977-44f9-93a0-d6b744fc8f44
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Evaluating Macroeconomic Forecasts : A Review of Some Recent Developments | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Macroeconomic forecasts | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | econometric models | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | human intuition | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | biased forecasts | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | forecast performance | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | forecast evaluation | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | forecast comparison | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classifications: C22, C51, C52, C53, E27, E37. | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Franses, Philip Hans
× Franses, Philip Hans× McAleer, Michael× Legerstee, Rianne |
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| 著者所属 | ||||||
| 著者所属 | Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands | |||||
| 著者所属 | ||||||
| 著者所属 | Tinbergen Institute, The Netherlands | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some recent developments from that perspective. The literature on forecast evaluation predominantly assumes that macroeconomic forecasts are generated from econometric models. In practice, however, most macroeconomic forecasts, such as those from the IMF, World Bank, OECD, Federal Reserve Board, Federal Open Market Committee (FOMC) and the ECB, are based on econometric model forecasts as well as on human intuition. This seemingly inevitable combination renders most of these forecasts biased and, as such, their evaluation becomes non-standard. In this review, we consider the evaluation of two forecasts in which: (i) the two forecasts are generated from two distinct econometric models; (ii) one forecast is generated from an econometric model and the other is obtained as a combination of a model, the other forecast, and intuition; and (iii) the two forecasts are generated from two distinct combinations of different models and intuition. It is shown that alternative tools are needed to compare and evaluate the forecasts in each of these three situations. These alternative techniques are illustrated by comparing the forecasts from the Federal Reserve Board and the FOMC on inflation, unemployment and real GDP growth. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Forthcoming in Journalof Economic Surveys. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-729, 発行日 2010-03 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf729ab.html | |||||
