In this paper we present a multivariate analysis of the Federal Reserve’s forecasts. First, we evaluate the Fed’s forecasts of the ten major expenditure categories of real GDP. Second, we present a new methodology for evaluating multivariate forecasts. Finally, we use the same methodology to...

This paper presents a new approach to evaluating multiple economic forecasts. In the past, evaluations have focused on the forecasts of individual variables. However, many macroeconomic variables are forecast at the same time and are used together to describe the state of the economy. It is,...

This paper compares the output gap estimates based on a number of different methods. We take advantage of the unique properties of the Mongolian economy in order to evaluate the different approaches. We find that an economic measure derived from a Blanchard and Quah-type joint model of output...

In this paper we present an evaluation of forecasts of a vector of variables of the German economy made by different institutions. Our method permits one to evaluate the forecasts for each year and then if one is interested to combine the years. We use our method to determine an overall winner...

This paper presents a recently developed approach for evaluating economic forecasts. Previously, univariate methods were used to evaluate the forecasts of individual variables. However, many macroeconomic variables are forecast at the same time to describe the state of the economy. It is,...

This paper reconciles contradictory findings obtained from forecast evaluations: the existence of systematic errors and the failure to reject rationality in the presence of such errors. Systematic errors in one economic state may offset the opposite types of errors in the other state such that...

In this paper we jointly evaluate the Federal Reserve staff forecasts of U.S. real output growth and the inflation rate assuming the forecasts are to be used as inputs for the Taylor rule. Our simple methodology generates “policy forecast errors” which have a direct interpretation for the...

In this paper we examine the quality of the initial estimates of the components of both real and nominal U.S. GDP. We introduce a number of new statistics for measuring the magnitude of changes in the components from the initial estimates available one month after the end of the quarter to the...

This article provides a discussion of Clements and Galvão’s “Forecasting with Vector Autoregressive Models of Data Vintages: US output growth and inflation.” Clements and Galvão argue that a multiple-vintage VAR model can be useful for forecasting data that are subject to revisions....

In this paper we examine the quality of the initial estimates of headline GDP and 10 major components of both real and nominal U.S. GDP. We ask a number of questions about various characteristics of the differences between the initial estimates available one month after the end of the quarter to...