The Informational Content of Ex Ante Forecasts

Ray Fair () and Robert Shiller

No 857, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and Shiller (1987) to examine the informational content of three sets of ex ante forecasts: the American Statistical Association and National Bureau of Economic Research Survey (ASA). Data Resources Incorporated (DRI), and Wharton Economic Forecasting Associates (WEFA). We compare these forecasts to each other and to "quasi ex ante" forecasts generated from a vector autoregressive model, an autoregressive components model and a large-scale structural model (the Fair model).

Keywords: Forecasts; ex ante forecasts; informational content (search for similar items in EconPapers)
Pages: 17 pages
Date: 1988-01
Note: CFP 736.
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Citations: View citations in EconPapers (3)

Published in Review of Economics and Statistics (May 1989), 71(2): 325-331

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Related works:
Journal Article: The Informational Context of Ex Ante Forecasts (1989)
Working Paper: The Informational Content of Ex Ante Forecasts (1988)
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