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on Forecasting |
| By: | Ulrich Fritsche (Department for Economics and Politics, University of Hamburg, and DIW Berlin); Joerg Doepke (Fachhochschule Merseburg) |
| Abstract: | The paper analyses reasons for departures from strong rationality of growth and inflation forecasts based on annual observations from 1963 to 2004. We rely on forecasts from the joint forecast of the so-called "six leading" forecasting institutions in Germany and argue that violations of the rationality hypothesis are due to relatively few large forecast errors. These large errors are shown - based on evidence from probit models - to correlate with macroeconomic fundamentals, especially on monetary factors. We test for a non-linear relation between forecast errors and macroeconomic fundamentals and find evidence for such a non-linearity for inflation forecasts. |
| Keywords: | forecast error evaluation, non-linearities, business cycles |
| JEL: | E32 E37 C52 C53 |
| Date: | 2006–02 |
| URL: | http://d.repec.org/n?u=RePEc:hep:macppr:0206&r=for |
| By: | Curran , Declan; Funke, Michael (Hamburg University, Germany) |
| Abstract: | We present a new composite leading indicator of economic activity in mainland China, es-timated using a dynamic factor model. Our leading indicator is constructed from three se-ries: exports, a real estate climate index, and the Shanghai Stock Exchange index. These series are found to share a common, unobservable element from which our indicator can be identified. This indicator is then incorporated into out-of-sample one-step-ahead forecasts of Chinese GDP growth. Recursive out-of-sample accuracy tests indicate that the small-scale factor model approach leads to a successful representation of the sample data and provides an appropriate tool for forecasting Chinese business conditions. |
| Keywords: | forecasting; China; leading indicator; factor model; growth cycles |
| JEL: | C32 C52 E32 E37 |
| Date: | 2006–06–02 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:bofitp:2006_006&r=for |
| By: | Badi H. Baltagi (Center for Policy Research, Maxwell School, Syracuse University, Syracuse, NY 13244-1020); Dong Li |
| Abstract: | This paper considers the problem of prediction in a panel data regression model with spatial autocorrelation in the context of a simple demand equation for liquor. This is based on a panel of 43 states over the period 1965-1994. The spatial autocorrelation due to neighboring states and the individual heterogeneity across states is taken explicitly into account. We compare the performance of several predictors of the states demand for liquor for one year and five years ahead. The estimators whose predictions are compared include OLS, fixed effects ignoring spatial correlation, fixed effects with spatial correlation, random effects GLS estimator ignoring spatial correlation and random effects estimator accounting for the spatial correlation. Based on RMSE forecast performance, estimators that take into account spatial correlation and neterogeneity across the states perform the best for one year ahead forecasts. However, for two to five years ahead forecasts, estimators that take into account the heterogeneity across the states yield the best forecasts. |
| Keywords: | prediction, spatial correlation, panel data, liquor demand |
| JEL: | C21 C23 C53 |
| Date: | 2006–07 |
| URL: | http://d.repec.org/n?u=RePEc:max:cprwps:84&r=for |
| By: | Aline Chiabai (Fondazione Eni Enrico Mattei); Paulo A.L.D. Nunes (Fondazione Eni Enrico Mattei) |
| Abstract: | This paper provides an assessment of the economic value of the oceanographic services provided by the Mediterranean operational forecasting system, MFSTEP. The main purpose of this exploratory study is to carry out a cost-benefit analysis for different development scenarios, by comparing the costs associated with the project implementation with the private benefits that arise from delivering its products on the market. As far as the costs are concerned, a total cost assessment has been performed by identifying, classifying and estimating the wide range of inputs that have been allocated both to the project development and maintenance. Against this context, a cost questionnaire has been designed and administered to all MFSTEP partners. In addition, the study focuses on an end-users analysis in order to examine end-users’ attitudes and interests for the forecasting products, their needs and satisfaction. As before, we make the use of a survey. Finally, this questionnaire is characterized by exploring the use of the contingent valuation approach so as to address and estimate the private benefits derived from the provision of the MFSTEP products. Estimation results show that the mean willingness to pay for accessing the forecasting products amounts to 65 euro per download. Cost-benefit analysis reveals that, from a market perspective relying on the profit maximisation, a total of 163 downloads per day are required for total maintenance costs recovery, whereas 90 downloads per day are required to recover personnel maintenance costs. Finally, 33 downloads per day are required so as to recover durable equipment maintenance costs. |
| Keywords: | Cost-Benefit Analysis, Contingent Valuation, Survey Design, Willingness to Pay, Cost Assessment, Observing and Modelling Oceanographic System |
| JEL: | D60 D61 D12 |
| Date: | 2006–08 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2006.104&r=for |