TY  - JOUR
AU  - Fair,Ray C.
AU  - Shiller,Robert J.
TI  - The Informational Content of Ex Ante Forecasts
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2503
PY  - 1989
Y2  - November 1989
UR  - http://www.nber.org/papers/w2503
L1  - http://www.nber.org/papers/w2503.pdf
N1  - Author contact info:
Ray C. Fair
Cowles Foundation
P.O. Box 208281
Yale University
New Haven, CT  06520-8281
E-Mail: ray.fair@yale.edu

Robert J. Shiller
Yale University, Cowles Foundation
Box 208281
30 Hillhouse Avenue
New Haven, CT  06520-8281
Tel: 203/432-3708
Fax: 203/432-6167
E-Mail: robert.shiller@yale.edu
AB  - 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).
ER  -