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Are Forecast Updates Progressive ?
http://hdl.handle.net/2261/35798
http://hdl.handle.net/2261/3579864b59733-9e38-445f-be4d-7a9dab293065
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | Are Forecast Updates Progressive ? | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Macro-economic 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 | intuition | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | initial forecast | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | primary forecast | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | revised forecast | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | actual value | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | progressive forecast updates | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | forecast errors | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classifications: C53, C22, E27, E37. | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | 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 |
Chang, Chia-Lin
× Chang, Chia-Lin× Franses, Philip Hans× McAleer, Michael |
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| 著者所属 | ||||||
| 値 | Department of Applied Economics, National Chung Hsing University, Taichung, Taiwan | |||||
| 著者所属 | ||||||
| 値 | Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands | |||||
| 著者所属 | ||||||
| 値 | Tinbergen Institute, The Netherlands | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Macro-economic forecasts typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast updates should become more accurate, on average, as the actual value is approached. Otherwise, forecast updates would be neutral. The paper proposes a methodology to test whether forecast updates are progressive and whether econometric models are useful in updating forecasts. The data set for the empirical analysis are for Taiwan, where we have three decades of quarterly data available of forecasts and updates of the inflation rate and real GDP growth rate. The actual series for both the inflation rate and the real GDP growth rate are always released by the government one quarter after the release of the revised forecast, and the actual values are not revised after they have been released. Our empirical results suggest that the forecast updates for Taiwan are progressive, and can be explained predominantly by intuition. Additionally, the one-, two- and three-quarter forecast errors are predictable using publicly available information for both the inflation rate and real GDP growth rate, which suggests that the forecasts can be improved. | |||||
| 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-736, 発行日 2010-04 |
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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 | ||||||
| 値 | 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/2010/2010cf736ab.html | |||||
