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Tara M. Sinclair, H. O. Stekler and Warren Carnow
''A new approach for evaluating economic forecasts ''
( 2012, Vol. 32 No.3 )
This paper presents a recently developed approach for evaluating economic forecasts. Previously, univariate methods were used to evaluate the forecasts of individual variables. However, many macroeconomic variables are forecast at the same time to describe the state of the economy. It is, therefore, appropriate to use a multivariate methodology in evaluating these forecasts. Our approach uses VARs and distance measures. It is applied to the Survey of Professional Forecasters (SPF). Our contributions are the application of the methodology for evaluating multivariate forecasts to the SPF, measuring accuracy, and testing for bias within this framework. We also consider whether there are forecasting performance asymmetries over the business cycle.
Keywords: Forecast Evaluation, Survey of Professional Forecasters, Business Cycle, Mahalanobis Distance
JEL: C5 - Econometric Modeling: General
E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Manuscript Received : Apr 30 2012 Manuscript Accepted : Aug 23 2012

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