Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment
ICMA Centre Discussion Papers in Finance from Henley Business School, Reading University
We consider whether imposing long-run restrictions on survey respondents' long-horizon forecasts will enhance their accuracy. The restrictions are motivated by the belief that the macro-variables consumption, investment and output move together in the long run, and that this should be evident in long-horizon forecasts. The restrictions are imposed by exponential-tilting of simple auxiliary forecast densities. We find a modest overall improvement in forecast accuracy of around 7% on MSFE for the consumption-output ratio, but there are times when much larger gains were realizable. The transformation of the data/forecasts on which accuracy is assessed is shown to play an important role.
Pages: 40 pages
New Economics Papers: this item is included in nep-for and nep-mac
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID24 ... ctid=2412640&mirid=1 (application/pdf)
Journal Article: Long-run restrictions and survey forecasts of output, consumption and investment (2016)
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:rdg:icmadp:icma-dp2014-02
Access Statistics for this paper
More papers in ICMA Centre Discussion Papers in Finance from Henley Business School, Reading University Contact information at EDIRC.
Bibliographic data for series maintained by Marie Pearson ().