A new approach for evaluating economic forecasts

Tara Sinclair, Herman Stekler and Warren Carnow ()

Economics Bulletin, 2012, vol. 32, issue 3, 2332-2342

Abstract: This paper presents a recently developed approach for evaluating economic forecasts. Previously, univariate methods were used to evaluate the forecasts of individual variables. However, many macroeconomic variables are forecast at the same time to describe the state of the economy. It is, therefore, appropriate to use a multivariate methodology in evaluating these forecasts. Our approach uses VARs and distance measures. It is applied to the Survey of Professional Forecasters (SPF). Our contributions are the application of the methodology for evaluating multivariate forecasts to the SPF, measuring accuracy, and testing for bias within this framework. We also consider whether there are forecasting performance asymmetries over the business cycle.

Keywords: Forecast Evaluation; Survey of Professional Forecasters; Business Cycle; Mahalanobis Distance (search for similar items in EconPapers)
JEL-codes: C5 E3 (search for similar items in EconPapers)
Date: 2012-08-23
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Citations: View citations in EconPapers (21)

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Related works:
Working Paper: A NEW APPROACH FOR EVALUATING ECONOMIC FORECASTS (2012)
Working Paper: A New Approach For Evaluating Economic Forecasts (2012)
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