کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
998348 | 1481457 | 2011 | 14 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Predicting economic contractions and expansions with the aid of professional forecasts Predicting economic contractions and expansions with the aid of professional forecasts](/preview/png/998348.png)
Traditional econometric models of economic contractions typically perform poorly in forecasting exercises. This criticism is also frequently levelled at professional forecast probabilities of contractions. This paper addresses the problem of incorporating the entire distribution of professional forecasts into an econometric model for forecasting contractions and expansions. A new augmented probit approach is proposed, involving the transformation of the distribution of professional forecasts into a ‘professional forecast’ prior for the economic data underlying the probit model. Since the object of interest is the relationship between the distribution of professional forecasts and the probit model’s economic-data dependent parameters, the solution avoids criticisms levelled at the accuracy of professional forecast based point estimates of contractions. An application to US real GDP data shows that the model yields significant forecast improvements relative to alternative approaches.
Journal: International Journal of Forecasting - Volume 27, Issue 2, April–June 2011, Pages 438–451