کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7408518 1481446 2014 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Using forecast evaluation to improve the accuracy of the Greenbook forecast
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Using forecast evaluation to improve the accuracy of the Greenbook forecast
چکیده انگلیسی
Recently, Patton and Timmermann (2012) proposed a more powerful kind of forecast efficiency regression at multiple horizons, and showed that it provides evidence against the efficiency of the Fed's Greenbook forecasts. I use their forecast efficiency evaluation to propose a method for adjusting the Greenbook forecasts. Using this method in a real-time out-of-sample forecasting exercise, I find that it provides modest improvements in the accuracies of the forecasts for the GDP deflator and CPI, but not for other variables. The improvements are statistically significant in some cases, with magnitudes of up to 18% in root mean square prediction error.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 30, Issue 1, January–March 2014, Pages 12-19
نویسندگان
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