Properties of macroeconomic forecast errors

This paper investigates the distributional properties of individual and consensus time series macroeconomic forecast errors, using data from the Survey of Professional Forecasters. The degree of autocorrelation and the presence of ARCH in the consensus errors is also determined. We find strong evide...

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Bibliographic Details
Main Authors: David I. Harvey, Paul Newbold
Format: Default Preprint
Published: 2000
Subjects:
Other economics not elsewhere classified
survey data
forecast error distribution
non-normality
Economics not elsewhere classified
Online Access:https://hdl.handle.net/2134/429
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