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    題名: Using Forecast Evaluation to Improve the Accuracy of the Greenbook Forecast
    作者: 荒井夏來
    Natsuki Arai
    貢獻者: 國貿系
    關鍵詞: Evaluating forecasts;Forecast efficiency;Adjusting forecasts;Real-time data;The Greenbook forecast
    日期: 2014-01
    上傳時間: 2015-11-03 16:57:20 (UTC+8)
    摘要: Recently, Patton and Timmermann (2012) proposed a more powerful kind of forecast efficiency regression at multiple horizons, and showed that it provides evidence against the efficiency of the Fed’s Greenbook forecasts. I use their forecast efficiency evaluation to propose a method for adjusting the Greenbook forecasts. Using this method in a real-time out-of-sample forecasting exercise, I find that it provides modest improvements in the accuracies of the forecasts for the GDP deflator and CPI, but not for other variables. The improvements are statistically significant in some cases, with magnitudes of up to 18% in root mean square prediction error.
    關聯: International Journal of Forecasting,30(1),12-19
    資料類型: article
    顯示於類別:[國際經營與貿易學系 ] 期刊論文

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