Comparing Information in Forecasts from Econometric Models

Ray C. Fair · Robert J. Shiller

427 citations0/0 files storedAmerican Economic Review

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Diverse Scientific and Economic Studies

Abstract

The information contained in one model's forecast compared to that in another can be assessed from a regression of actual values on predicted values from the two models. The authors do this for forecasts of real GNP growth rates for different pairs of models. The models include a structural model (the Fair model), various versions of the vector autoregressive model, and various versions of a model the authors call the "autoregressive components" model. The authors' procedure requires that forecasts make no use of future information and they have been careful to try to insure this, including using the version of the Fair model that existed in 1976, the beginning of their test period. Copyright 1990 by American Economic Association.

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1980Macroeconomics and Reality

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