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An Evaluation of Quarterly National Institute Forecasts

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>1985
<mark>Journal</mark>Journal of Forecasting
Issue number2
Volume4
Number of pages8
Pages (from-to)227-234
Publication statusPublished
Original languageEnglish

Abstract

This paper examines the quarterly forecasts by the U.K. National Institute of Economic and Social Research of the rate of inflation and the change in real gross domestic product and its components for horizons of one to four quarters ahead in the U.K. The forecasts are tested to see if they satisfy three implications of the rational expectations hypothesis: unbiasedness, efficiency and consistency. Explicit consideration is given to the information set available when the forecasts are made. In general, the data are consistent with the rational expectations hypothesis and our results provide encouragement for the view that aggregate expectations will meet the ex post requirements of rationality.