Chang, Chia-Lin and Franses, Philip Hans and McAleer, Michael (2013): Are Forecast Updates Progressive?
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Abstract
Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast updates should become more accurate, on average, as the actual value is approached. Otherwise, forecast updates would be neutral. The paper proposes a methodology to test whether macroeconomic forecast updates are progressive, where the interaction between model and intuition is explicitly taken into account. The data set for the empirical analysis is for Taiwan, where we have three decades of quarterly data available of forecasts and their updates of the inflation rate and real GDP growth rate. Our empirical results suggest that the forecast updates for Taiwan are progressive, and that progress can be explained predominantly by improved intuition.
Item Type: | MPRA Paper |
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Original Title: | Are Forecast Updates Progressive? |
Language: | English |
Keywords: | Macroeconomic forecasts, econometric models, intuition, progressive forecast updates, forecast errors |
Subjects: | C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E27 - Forecasting and Simulation: Models and Applications E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications |
Item ID: | 46387 |
Depositing User: | Chia-Lin Chang |
Date Deposited: | 20 Apr 2013 14:18 |
Last Modified: | 27 Sep 2019 22:20 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/46387 |