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A Simple Forecasting Accuracy Criterion Under Rational Expectations [electronic resource] : Evidence From the World Economic Outlook and Time Series Models, Barrionuevo, José M..

Author/Creator:
Barrionuevo, José M.
Publication:
Washington, D.C. : International Monetary Fund, 1992.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 92/48.
IMF Working Papers; Working Paper No. 92/48
Format/Description:
Government document
Book
1 online resource (34 p.)
Local subjects:
Autocorrelation. (search)
Correlation. (search)
Correlation analysis. (search)
Covariance. (search)
Econometric analysis. (search)
Econometric techniques. (search)
Econometrics. (search)
Economic outlook projections. (search)
Equation. (search)
Equations. (search)
Forecast performance. (search)
Forecasting. (search)
Forecasting models. (search)
Growth forecasts. (search)
Growth projections. (search)
Least squares regression. (search)
Least squares regressions. (search)
Mathematical statistics. (search)
Mean square. (search)
Number of regressors. (search)
Optimization. (search)
Predictions. (search)
Random error. (search)
Random errors. (search)
Random process. (search)
Random variable. (search)
Random walk. (search)
Significance level. (search)
Standard error. (search)
Standard errors. (search)
Statistic. (search)
Statistical model. (search)
Statistical significance. (search)
Statistics. (search)
Stochastic process. (search)
Survey. (search)
Time series. (search)
Time series forecast. (search)
Time series forecasts. (search)
Time series model. (search)
Time series models. (search)
World Economic Outlook. (search)
Canada. (search)
France. (search)
Germany. (search)
Grenada. (search)
Italy. (search)
United Kingdom. (search)
United States. (search)
Summary:
A simple criterion based on the properties of the forecast error is presented to evaluate the accuracy of forecasts. The efficiency conditions of an optimization problem are used to show that under rational expectations the standard statistical conditions are necessary, but not sufficient to ensure efficiency. This criterion is used to examine the accuracy of the World Economic Outlook projections of growth and inflation for the seven major industrial countries. Time series models are then estimated and the efficiency of the World Economic Outlook projections relative to a benchmark time series model is examined. A number of empirical tests suggest that the year ahead projections of growth and inflation in the World Economic Outlook are unbiased after 1982.
Notes:
Description based on print version record.
Contributor:
Barrionuevo, José M.
Other format:
Print Version:
ISBN:
1451972237:
9781451972238
ISSN:
1018-5941
Publisher Number:
10.5089/9781451972238.001
Access Restriction:
Restricted for use by site license.
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