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Properties of macroeconomic forecast errors
preprint
posted on 2005-08-22, 11:12 authored by David I. Harvey, Paul NewboldThis 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 evidence of leptokurtic forecast errors and some evidence of
skewness, suggesting that an assumption of error normality is inappropriate; many of the
forecast error series are found to have non-zero mean, and we find sporadic evidence of
consensus error ARCH. Properties of the distribution of cross-sectional forecast errors are
also examined.
History
School
- Business and Economics
Department
- Economics
Pages
81942 bytesPublication date
2000Notes
Economics Research Paper, no.00-02Language
- en