A bootstrap test of the time-varying efficiency of German growth forecasts

Christian Pierdzioch

Economics Bulletin, 2023, vol. 43, issue 1, 679 - 687

Abstract: I use a bootstrap approach to re-examine the time-varying efficiency of growth forecasts for Germany. I argue that, given this small sample of forecasts, the bootstrap approach renders it possible to trace out with more precision than a standard full-sample forecast-efficiency-regression model whether forecasts were efficient at any given point in time. As an empirical application of the bootstrap approach, I present results for six-months-ahead and one-year-ahead growth forecasts published by three German economic research institutes during the sample period 1970$-$2018. The results illustrate that the bootstrap approach, for various configurations of the forecast-efficiency-regression model, yields stronger evidence against forecast efficiency than a conventional full-sample model.

Keywords: Forecast efficiency; Bootstrap; Growth; Germany (search for similar items in EconPapers)
JEL-codes: C5 E3 (search for similar items in EconPapers)
Date: 2023-03-30
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