Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts

DOI10.1002/FOR.1173MaRDI QIDQ2997940zbMATHOpenAlexFDO

Authors Ricardo Mestre, Peter McAdam

Publication date 10 May 2011

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp950.pdf

zbMATH Keywords

structural breakforecast accuracymacro modelout-of-sampleeconomic monetary unionin-sampleforecast projections

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Forecast robustness in macroeconometric models
• Tests of Conditional Predictive Ability
• Forecasting in the presence of large shocks
• Forecasting macroeconomic variables in data-rich environments
• Does modeling a structural break improve forecast accuracy?

Cites work

• A simple recursive forecasting model
• Adaptive learning in practice
• Evaluating Direct Multistep Forecasts
• Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Model uncertainty and policy evaluation: some theory and empirics

Cited in

(3)

• How Informative are the Subjective Density Forecasts of Macroeconomists?
• Improving judgmental adjustment of model-based forecasts
• Can we estimate macroforecasters' mis-behavior?

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