Research output: Working paper
}
TY - UNPB
T1 - The state of macroeconomic forecasting
AU - Stekler, H
AU - Fildes, R A
PY - 1999
Y1 - 1999
N2 - Macroeconomic forecasts are used extensively in industry and government The historical accuracy of US and UK forecasts are examined in the light of different approaches to evaluating macro forecasts. Issues discussed include the comparative accuracy of macroeconometric models compared to their time series alternatives, whether the forecasting record has improved over time, the rationality of macroeconomic forecasts and how a forecasting service should be chosen. The role of judgement in producing the forecasts is also considered where the evidence unequivocally favors such interventions. Finally the use of macroeconomic forecasts and their effectiveness is discussed. The conclusion drawn is that researchers have paid too little attention to the issue of improving the forecasting accuracy record. Areas where improvements would be particularly valuable are highlighted.
AB - Macroeconomic forecasts are used extensively in industry and government The historical accuracy of US and UK forecasts are examined in the light of different approaches to evaluating macro forecasts. Issues discussed include the comparative accuracy of macroeconometric models compared to their time series alternatives, whether the forecasting record has improved over time, the rationality of macroeconomic forecasts and how a forecasting service should be chosen. The role of judgement in producing the forecasts is also considered where the evidence unequivocally favors such interventions. Finally the use of macroeconomic forecasts and their effectiveness is discussed. The conclusion drawn is that researchers have paid too little attention to the issue of improving the forecasting accuracy record. Areas where improvements would be particularly valuable are highlighted.
KW - econometric models
KW - macroeconomic forecasting
KW - rationality
KW - forecast evaluation
KW - structural breaks
KW - cliometrics
KW - industry structure
M3 - Working paper
T3 - Economics Working Paper Series
BT - The state of macroeconomic forecasting
PB - The Department of Economics
CY - Lancaster University
ER -