NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Informational Content of Ex Ante Forecasts

Ray C. Fair, Robert J. Shiller

NBER Working Paper No. 2503 (Also Reprint No. r1310)
Issued in November 1989
NBER Program(s):   EFG

The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and Shiller (1987) to examine the informational content of three sets of ex ant. forecasts: the American Statistical Association and National Bureau of Economic Research Survey (ASA), Data Resources Incorporated (DRI), and Wharton Economic Forecasting Associates (UEFA). We compare these forecasts to each other and to "quasi ex ante" forecasts generated from a vector autoregressive model, an autoregressive components model, and a large-scale structural model (the Fair model).

download in pdf format
   (499 K)

download in djvu format
   (170 K)

email paper

This paper is available as PDF (499 K) or DjVu (170 K) (Download viewer) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Published: The Review of Economics and Statistics, Vol. LXXI, No. 2, pp. 325-331,(May 1989).

Users who downloaded this paper also downloaded these:
Wolfers and Zitzewitz w10504 Prediction Markets
Diebold and Lopez t0192 Forecast Evaluation and Combination
Fair and Shiller w2233 Econometric Modeling as Information Aggregation
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us