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n Studies in Economics and Econometrics - A directional analysis of the Bureau for Economic Research's quarterly forecasts

Volume 31, Issue 3
  • ISSN : 0379-6205

Abstract

This paper investigates the ability of the Bureau for Economic Research (BER) to forecast directional changes in gross domestic product (GDP), gross domestic expenditure (GDE), final consumption expenditure by households (FCEH) and the Prime and Bankers' Acceptance (BA) interest rates. The analysis is based on the BER's quarterly forecasts for the period 1988Q1 to 2004Q4 published in . Using Henriksson and Merton's (1981) test for independence and directional correctness, it is found that the BER's forecasts of GDE and the Prime rate are useful and better than a naïve same-as-last-period forecast for (at least) four quarters into the future. For the BA rate the BER performs marginally better than a naïve model. However, for predicting directional changes in GDP and FCEH, a naïve model performs better than the BER.

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/content/bersee/31/3/EJC21452
2007-11-01
2019-08-21

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