The Informational Content of Ex Ante Forecasts

Ray C. Fair · Robert J. Shiller

100 citations0/0 files storedNational Bureau of Economic Research

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

The informational content of different forecasts can be ce.pared by regressing the actual change in a variabl, to b. 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 Econonic Research Survey (SA), Data Resources Incorporated (DRI), and Wharton Economic Forecasting Associates (WEFA).We compare these forecasts to each other and to quasi ax ante" forecasts generated from a vector autoregressive model, an autoregressive components model, and a large-scale structural model (the Fair modal).

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1980Macroeconomics and Reality 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1972The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy 1979Techniques of Forecasting Using Vector Autoregressions 1983Two-step two-stage least squares estimation in models with rational expectations 1978The Sensitivity of Fiscal Policy Effects to Assumptions about the Behavior of the Federal Reserve

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