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Short‐run macroeconomic forecasting: The OECD performance

Short‐run macroeconomic forecasting: The OECD performance Forecasts for the seven major industrial countries, Canada, France, Germany, Italy, Japan, the United Kingdom and the United States, are published on a regular basis in the OECD's Economic Outlook. This paper analyses the accuracy of the OECD annual forecasts of output and price changes and of the current balance in the balance of payments. As a reference basis, the forecasts are compared with those generated by a naive model, a random walk process. The measures of forecasting accuracy used are the mean‐absolute error, the root‐mean‐square error, the median‐absolute error, and Theil's inequality coefficient. The OECD forecasts of real GNP changes are significantly superior to those generated by the random walk process; however, the OECD price and current balance forecasts are not significantly more accurate than those obtained from the naive model. The OECD's forecasting performance has neither improved nor deteriorated over time. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Forecasting Wiley

Short‐run macroeconomic forecasting: The OECD performance

Journal of Forecasting , Volume 2 (1) – Jan 1, 1983

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Publisher
Wiley
Copyright
Copyright © 1983 John Wiley & Sons, Ltd.
ISSN
0277-6693
eISSN
1099-131X
DOI
10.1002/for.3980020105
Publisher site
See Article on Publisher Site

Abstract

Forecasts for the seven major industrial countries, Canada, France, Germany, Italy, Japan, the United Kingdom and the United States, are published on a regular basis in the OECD's Economic Outlook. This paper analyses the accuracy of the OECD annual forecasts of output and price changes and of the current balance in the balance of payments. As a reference basis, the forecasts are compared with those generated by a naive model, a random walk process. The measures of forecasting accuracy used are the mean‐absolute error, the root‐mean‐square error, the median‐absolute error, and Theil's inequality coefficient. The OECD forecasts of real GNP changes are significantly superior to those generated by the random walk process; however, the OECD price and current balance forecasts are not significantly more accurate than those obtained from the naive model. The OECD's forecasting performance has neither improved nor deteriorated over time.

Journal

Journal of ForecastingWiley

Published: Jan 1, 1983

References