Konjunkturprognosen treffen selten exakt mit der tatsächlichen Entwicklung zusammen. Bei Abweichungen zwischen Prognosen und Realität ist schnell von Fehlprognosen die Rede. Für 2004 waren die Prognosen dem Anschein nach wieder deutlich besser als für die Jahre zuvor. Doch trifft dies...

We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the bench-mark to all the alternative models simultaneously rather than sequentially, and do...

Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

Neben dem ifo Geschäftsklimaindex Deutschland veröffentlicht das ifo Institut noch viele weitere Konjunkturindikatoren, wie etwa die Exporterwartungen im Verarbeitenden Gewerbe oder das Beschäftigungsbarometer, und bietet Zeitreihen für zahlreiche Wirtschaftsbereiche an, die aus den...

Das ifo Institut beleuchtet seit Jahren kritisch die Güte der eigenen Konjunkturprognosen. Im folgenden Beitrag werden für das abgelaufene Jahr die Gründe für aufgetretene Differenzen zwischen Prognose und Wirklichkeit diskutiert. Zudem wird auf die Prognosequalität im langjährigen...

The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at disaggregated levels to examine the source of the improved...

We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable...

In this paper, we empirically assess the predictive accuracy of a large group of models based on the use of principle components and other shrinkage methods, including Bayesian model averaging and various bagging, boosting, LASSO and related methods Our results suggest that model averaging does...

For many years, Business Tendency Surveys on the basis of mailing suffer from an erosion of the response rate. To counter this problem, there are traditional methods as limitation of the number of questions, improvement of the design of the questionnaire, intensified recalls by mail or...

This paper illustrates the effects of item-nonresponse in surveys on the results of multivariate statistical analysis when estimation of productivity is the task. To multiply impute the missing data a data augmentation algorithm based on a normal/Wishart model is applied. Data of the German IAB...