One model and various experts: Evaluating Dutch macroeconomic forecasts
Philip Hans Franses,
Henk C. Kranendonk and
International Journal of Forecasting, 2011, vol. 27, issue 2, 482-495
The Netherlands Bureau for Economic Policy Analysis (CPB) uses a large macroeconomic model to create forecasts of various important macroeconomic variables. The outcomes of this model are usually filtered by experts, and it is the expert forecasts that are made available to the general public. In this paper we re-create the model forecasts for the period 1997–2008 and compare the expert forecasts with the pure model forecasts. Our key findings from the first time that this unique database has been analyzed are that (i) experts adjust upwards more often; (ii) expert adjustments are not autocorrelated, but their sizes do depend on the value of the model forecast; (iii) the CPB model forecasts are biased for a range of variables, but (iv) at the same time, the associated expert forecasts are more often unbiased; and that (v) expert forecasts are far more accurate than the model forecasts, particularly when the forecast horizon is short. In summary, the final CPB forecasts de-bias the model forecasts and lead to higher accuracies than the initial model forecasts.
Keywords: Macroeconomic forecasting; Expert adjustment; Forecast accuracy (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Journal Article: One model and various experts: Evaluating Dutch macroeconomic forecasts (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:27:y:2011:i:2:p:482-495
Access Statistics for this article
International Journal of Forecasting is currently edited by R. J. Hyndman
More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().