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Evaluating Macroeconomic Forecast: A Review of Some Recent Developments

Franses, Philip Hans; McAleer, Michael; Legerstee, … - Faculteit der Economische Wetenschappen, Erasmus … - 2010

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...

Persistent link: https://www.econbiz.de/10010731816

Analyzing Fixed-event Forecast Revisions

Franses, Philip Hans; Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2011

It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current revisions on one-period lagged revisions. Under weak-form efficiency, the correlation between the current and one-period lagged revisions should be zero. The empirical findings in the...

Persistent link: https://www.econbiz.de/10010732588

Evaluating Combined Non-Replicable Forecast

Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

Macroeconomic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates an expert’s...

Persistent link: https://www.econbiz.de/10010732595

Are Forecast Updates Progressive?

Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

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...

Persistent link: https://www.econbiz.de/10010732635

Combining Non-Replicable Forecasts

Chang, Chia-Lin; McAleer, Michael; Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2010

Macro-economic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates an expert’s...

Persistent link: https://www.econbiz.de/10010732638

Are forecast updates progressive?

Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 93 (2013) C, pp. 9-18

Many macroeconomic forecasts and forecast updates like those from IMF and OECD 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...

Persistent link: https://www.econbiz.de/10010869918

A factor analysis for the Spanish economy

Cuevas, Ángel; Quilis, Enrique M. - In: SERIEs : Journal of the Spanish Economic Association 3 (2012) 3, pp. 311-338

; temporal disaggregation ; forecasting ; nowcasting …

Persistent link: https://www.econbiz.de/10010030016

Advances in Forecasting Under Instability

Rossi, Barbara - 2013

The forecasting literature has identi ed two important issues: (i) several predictors have substantial and … learned about forecasting in the presence of instabilities. The empirical evidence raises a multitude of questions. If in …-sample tests provide poor guidance to out-of-sample forecasting ability, what should researchers do? If there are statistically …

Persistent link: https://www.econbiz.de/10014177227

'Google It!' Forecasting the US Unemployment Rate with A Google Job Search Index

D’Amuri, Francesco; Marcucci, Juri - 2012

the US unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt both our …

Persistent link: https://www.econbiz.de/10014195886

Comparing Smooth Transition and Markov Switching Autoregressive Models of US Unemployment

Deschamps, Philippe J. - 2008

Logistic smooth transition and Markov switching autoregressive models of a logistic transform of the monthly US unemployment rate are estimated by Markov chain Monte Carlo methods. The Markov switching model is identified by constraining the first autoregression coefficient to differ across...

Persistent link: https://www.econbiz.de/10014050320