Evaluating Forecasts of a Vector of Variables: a German Forecasting Competition

Hans Christian Müller-Dröge, Tara Sinclair and Herman Stekler

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: In this paper we present an evaluation of forecasts of a vector of variables of the German economy made by different institutions. Our method permits one to evaluate the forecasts for each year and then if one is interested to combine the years. We use our method to determine an overall winner for a forecasting competition across twenty-five different institutions for a single time period using a vector of eight key economic variables. Typically forecasting competitions are judged on a variable-by-variable basis, but our methodology allows us to determine how each competitor performed overall. We find that the Bundesbank was the overall winner for 2013.

Keywords: Mahalanobis Distance; forecasting competition; GDP components; German macroeconomic data (search for similar items in EconPapers)
JEL-codes: C5 E2 E3 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2014-07
New Economics Papers: this item is included in nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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https://cama.crawford.anu.edu.au/sites/default/fil ... inclair_stekleer.pdf (application/pdf)

Related works:
Working Paper: EVALUATING FORECASTS OF A VECTOR OF VARIABLES: A GERMAN FORECASTING COMPETITION (2014)
Working Paper: Evaluating Forecasts of a Vector of Variables: A German Forecasting Competition (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2014-55

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