Evaluating GDP Forecasting Models for Korea
Evaluating GDP Forecasting Models for Korea

Author: Mr.Li Zeng

Publisher: International Monetary Fund

Published: 2011-03-01

Total Pages: 25

ISBN-13: 1455220973

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This paper develops a new forecasting framework for GDP growth in Korea to complement and further enhance existing forecasting approaches. First, a range of forecast models, including indicator- and pure time-series models, are evaluated for their forecasting performance. Based on the evaluation results, a new forecasting framework is developed for GDP projections. The framework also generates a data-driven reference band for the projections, and is therefore convenient to update. The framework is applied to the current World Economic Outlook (WEO) forecast period and the Great Recession to compare its performance to past projections. Results show that the performance of the new framework often improves the forecasts, especially at quarterly frequency, and the forecasting exercise will be better informed by cross-checking with the new data-driven framework projections.

Economic Forecasting: The State of the Art
Economic Forecasting: The State of the Art

Author: Elia Xacapyr

Publisher: Routledge

Published: 2016-09-16

Total Pages: 200

ISBN-13: 1315480670

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An overview of the macroeconomic forecasting industry in the United States that explains and evaluates the forecasting techniques used to make predictions about various aspects of the national economy.

A Dynamic Use Of Survey Data And High Frequency Model Forecasting
A Dynamic Use Of Survey Data And High Frequency Model Forecasting

Author: Yoshihisa Inada

Publisher: World Scientific

Published: 2018-03-08

Total Pages: 126

ISBN-13: 9813232382

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This volume investigates the accuracy and dynamic performance of a high-frequency forecast model for the Japanese and United States economies based on the Current Quarter Model (CQM) or High Frequency Model (HFM) developed by the late Professor Emeritus Lawrence R. Klein. It also presents a survey of recent developments in high-frequency forecasts and gives an example application of the CQM model in forecasting Gross Regional Products (GRPs).

Economic Forecasting
Economic Forecasting

Author: N. Carnot

Publisher: Springer

Published: 2005-08-12

Total Pages: 335

ISBN-13: 0230005810

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Economic Forecasting provides a comprehensive overview of macroeconomic forecasting. The focus is first on a wide range of theories as well as empirical methods: business cycle analysis, time series methods, macroeconomic models, medium and long-run projections, fiscal and financial forecasts, and sectoral forecasting. In addition, the book addresses the main issues surrounding the use of forecasts (accuracy, communication challenges) and their policy implications. A tour of the economic data and forecasting institutions is also provided.

Forecasting U.S. Investment
Forecasting U.S. Investment

Author: Mr.Pau Rabanal

Publisher: International Monetary Fund

Published: 2010-11-01

Total Pages: 35

ISBN-13: 1455209465

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The driving force of U.S. economic growth is expected to rotate from the fiscal stimulus and inventory rebuilding in 2009 to private demand in 2010, with consumption and particularly investment expected to be important contributors to growth. The strength of U.S. investment will hence be a crucial issue for the U.S. and global recovery. On the basis of several traditional models of investment, we forecast that the U.S. investment in equipment and software will grow by about 10 percent on average over the 2010-12 period. The contribution of investment to real GDP growth will be 0.8 percentage points on average over the same period.

An Algorithmic Crystal Ball: Forecasts-based on Machine Learning
An Algorithmic Crystal Ball: Forecasts-based on Machine Learning

Author: Jin-Kyu Jung

Publisher: International Monetary Fund

Published: 2018-11-01

Total Pages: 34

ISBN-13: 1484382498

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Forecasting macroeconomic variables is key to developing a view on a country's economic outlook. Most traditional forecasting models rely on fitting data to a pre-specified relationship between input and output variables, thereby assuming a specific functional and stochastic process underlying that process. We pursue a new approach to forecasting by employing a number of machine learning algorithms, a method that is data driven, and imposing limited restrictions on the nature of the true relationship between input and output variables. We apply the Elastic Net, SuperLearner, and Recurring Neural Network algorithms on macro data of seven, broadly representative, advanced and emerging economies and find that these algorithms can outperform traditional statistical models, thereby offering a relevant addition to the field of economic forecasting.

Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections
Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections

Author: Klaus-Peter Hellwig

Publisher: International Monetary Fund

Published: 2018-12-07

Total Pages: 43

ISBN-13: 148438959X

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I regress real GDP growth rates on the IMF’s growth forecasts and find that IMF forecasts behave similarly to those generated by overfitted models, placing too much weight on observable predictors and underestimating the forces of mean reversion. I identify several such variables that explain forecasts well but are not predictors of actual growth. I show that, at long horizons, IMF forecasts are little better than a forecasting rule that uses no information other than the historical global sample average growth rate (i.e., a constant). Given the large noise component in forecasts, particularly at longer horizons, the paper calls into question the usefulness of judgment-based medium and long-run forecasts for policy analysis, including for debt sustainability assessments, and points to statistical methods to improve forecast accuracy by taking into account the risk of overfitting.

Macroeconomic Impacts of the 9/11 Attack
Macroeconomic Impacts of the 9/11 Attack

Author: Bryan W. Roberts

Publisher: DIANE Publishing

Published: 2011-04

Total Pages: 16

ISBN-13: 1437930468

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Evaluates the macroeconomic impacts of the 9/11 attack on U.S. real GDP growth and the unemployment rate by examining how forecasts of these variables were revised after the attack occurred. By this approach, the immediate impact of the 9/11 attack was to reduce real GDP growth in 2001 by 0.5%, and to increase the unemployment rate by 0.11% (reduce employment by 598,000 jobs). Forecasted real GDP growth in 2002 fell dramatically immediately after the 9/11 attack but then recovered fully. The forecasted unemployment rate in 2002 rose sharply immediately after the 9/11 attack, but unlike real GDP growth, it never subsequently returned to a pre-9/11 level. Illustrations. This is a print on demand edition of a hard to find publication.

Handbook of Economic Forecasting
Handbook of Economic Forecasting

Author: Graham Elliott

Publisher: Elsevier

Published: 2013-10-24

Total Pages: 1386

ISBN-13: 0444627413

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The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics