A NEW APPROACH FOR EVALUATING ECONOMIC FORECASTS

Tara Sinclair, Herman Stekler and Warren Carnow ()

No 2012-004, Working Papers from The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting

Abstract: This paper presents a new approach to evaluating multiple economic forecasts. In the past, evaluations have focused on the forecasts of individual variables. However, many macroeconomic variables are forecast at the same time and are used together to describe the state of the economy. It is, therefore, appropriate to examine those forecasts jointly. This specific approach is based on the Sinclair and Stekler (forthcoming) analysis of data revisions. The main contributions of this paper are (1) the application of this technique to the Survey of Professional Forecasters (SPF) and (2) showing that there is a bias that is associated with the stages of the business cycle.

Keywords: Federal Reserve; Forecast Evaluation; Survey of Professional Forecasts; Business Cycle; Mahalanobis Distance (search for similar items in EconPapers)
JEL-codes: C5 E2 E3 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2012-03
New Economics Papers: this item is included in nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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https://www2.gwu.edu/~forcpgm/2012-004.pdf First version, 2012 (application/pdf)

Related works:
Journal Article: A new approach for evaluating economic forecasts (2012)
Working Paper: A New Approach For Evaluating Economic Forecasts (2012)
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