Prognosegüte alternativer Frühindikatoren für die Konjunktur in Deutschland

Analyses of the fit of forecasts should not only observe the forecast errors which are based on the estimation of the parameters but also those based on the uncertainty from selecting the specification of the forecasting model from the sample data. This study argues that it is important to estimate...

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Bibliographic Details
Published in:Jahrbücher für Nationalökonomie und Statistik 2004-11, Vol.224 (6), p.639
Main Authors: Benner, Joachim, Carsten-Patrick Meier
Format: Article
Language:eng ; ger
Subjects:
Business cycles
Comparative studies
Economic forecasting
Forecasting techniques
Mathematical models
Studies
Online Access:Get full text
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Summary:Analyses of the fit of forecasts should not only observe the forecast errors which are based on the estimation of the parameters but also those based on the uncertainty from selecting the specification of the forecasting model from the sample data. This study argues that it is important to estimate the parameters and also the model selection recursively. In this paper the forecasting ability of three important German business cycle indicators are compared: the ifo business expectations, the ZEW business expectations and the "Earlybird" Indicator published in "Wirtschaftswoche". Results show that the forecast errors are higher when using the more realistic recursive model selection instead of using the non-recursive specification. In certain cases the analysed business cycle indicators provide better forecasts than the naive forecast based on its own lagged values.
ISSN:0021-4027
2366-049X