Working Paper: NBER ID: w2503
Authors: Ray C. Fair; Robert J. Shiller
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 ant. forecasts: the American Statistical Association and National Bureau of Economic Research Survey (ASA), Data Resources Incorporated (DRI), and Wharton Economic Forecasting Associates (UEFA). 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: Forecasting; Economic Models; Informational Content
JEL Codes: C53; E37
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Timing of forecasts (C53) | Informational content of ASA forecasts (C53) |
| DRI and Fair forecasts (G17) | Informational content of forecasts (C53) |
| VAR forecasts (F17) | Informational content of DRI and WEFA forecasts (F37) |