scholarly journals A Nonparametric Evaluation of the Optimality of German Export and Import Growth Forecasts Under Flexible Loss

Economies ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 93 ◽  
Author(s):  
Christoph Behrens
Keyword(s):  
Loss Function ◽  
Forecast Error ◽  
Explanatory Power ◽  
German Export ◽  
Economic Research ◽  
Forecast Horizon ◽  
German Trade ◽  
Research Institutes ◽  
Information Set ◽  
Growth Forecasts

This study contributes to research on the nonparametric evaluation of German trade forecasts. To this end, I compute random classification and regression forests to analyze the optimality of annual German export and import growth forecasts from 1970 to 2017. A forecast is considered as optimal if a set of predictors, which models the information set of a forecaster at the time of forecast formation, has no explanatory power for the corresponding (sign of the) forecast error. I analyze trade forecasts of four major German economic research institutes, a collaboration of German economic research institutes, and one international forecaster. For trade forecasts with a horizon of half-a-year, I cannot reject forecast optimality for all but one forecaster. In the case of a forecast horizon of one year, forecast optimality is rejected in more cases if the underlying loss function is assumed to be quadratic. Allowing for a flexible loss function results in more favorable assessment of forecast optimality.

scholarly journals Evaluation of economic forecasts for Austria

2019 ◽  
Vol 58 (1) ◽  
pp. 107-137
Author(s):  
Ines Fortin ◽  
Sebastian P. Koch ◽  
Klaus Weyerstrass
Keyword(s):  
Mahalanobis Distance ◽  
Inflation Rate ◽  
Austrian Economic ◽  
Oil Price ◽  
Economic Research ◽  
Forecast Errors ◽  
Forecast Horizon ◽  
Real Gdp ◽  
Research Institutes ◽  
Economic Forecasts

AbstractIn this paper, we evaluate macroeconomic forecasts for Austria and analyze the effects of external assumptions on forecast errors. We consider the growth rates of real GDP and the demand components as well as the inflation rate and the unemployment rate. The analyses are based on univariate measures like RMSE and Theil’s inequality coefficient and also on the Mahalanobis distance, a multivariate measure that takes the variances of and the correlations between the variables into account. We compare forecasts generated by the two leading Austrian economic research institutes, the Institute for Advanced Studies (IHS) and the Austrian Institute of Economic Research (WIFO), and additionally consider the forecasts produced by the European Commission. The results indicate that there are no systematic differences between the forecasts of the two Austrian institutes, neither for the traditional measures nor for the Mahalanobis distance. Generally, forecasts become more accurate with a decreasing forecast horizon, as expected; they are unbiased for forecast horizons of less than a year considering traditional measures and for the shortest forecast horizon considering the Mahalanobis distance. Finally, we find that mistakes in external assumptions, in particular regarding EU GDP and the oil price, translate into forecast errors for GDP and inflation.

MBAR Models: A Test of ARIMAX Modelling

2011 ◽  
Vol 14 (02) ◽  
pp. 347-366
Author(s):  
Anastasia Maggina
Keyword(s):  
Loss Function ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Accounting Earnings ◽  
Explanatory Variables ◽  
Minimum Value ◽  
Standard Models ◽  
Athens Stock Exchange ◽  
Squared Residuals ◽  
Earnings Change

The main purpose of this paper is to provide evidence on some of the standard models of accounting earnings and returns relations mainly collected through the literature. Standard models such as earnings level and earnings changes, among others, have been investigated in this study. Models that correspond better to the data drawn from the Athens Stock Exchange have been selected. Models I, II, V, VII and IX have statistically significant coefficients of explanatory variables. In addition, model II with the MSE (minimum value of squared residuals) loss function in ARIMAX (2,0,2) is prevalent. Models that include prior earnings in various forms using levels, changes in price and changes in earnings, change in price to beginning price, lagged parameters and differentiated price models have statistically significant explanatory power.

scholarly journals How Does the Market Interpret Analysts' Long-Term Growth Forecasts?

2005 ◽  
Vol 20 (2) ◽  
pp. 147-166 ◽  
Author(s):  
Steven A. Sharpe
Keyword(s):  
Price Ratio ◽  
Ratio Model ◽  
Forecast Horizon ◽  
Equity Analysts ◽  
Valuation Model ◽  
Price Earnings Ratio ◽  
Linear Regressions ◽  
Growth Forecasts

The long-term growth forecasts of equity analysts do not have well-defined horizons, an ambiguity of substantial import for many applications. I propose an empirical valuation model, derived from the Campbell-Shiller dividend-price ratio model, in which the forecast horizon used by the “market” can be deduced from linear regressions. Specifically, in this model, the horizon can be inferred from the elasticity of the price-earnings ratio with respect to the long-term growth forecast. The model is estimated on industry- and sector-level portfolios of S&P 500 firms over 1983-2001. The estimated coefficients on consensus long-term growth forecasts suggest that the market applies these forecasts to an average horizon somewhere in the range of 5 to 10 years.

All Economics is Local: Spatial Aggregations of Economic Information

2016 ◽  
Vol 6 (3) ◽  
pp. 467-487 ◽  
Author(s):  
David Fortunato ◽  
Clint S. Swift ◽  
Laron K. Williams
Keyword(s):  
Diffusion Processes ◽  
Explanatory Power ◽  
Estimation Procedure ◽  
Economic Indicators ◽  
Economic Research ◽  
Media Report ◽  
Media Messages ◽  
Economic Information ◽  
National Economic ◽  
The Media

National economic indicators play a foundational role in political economic research, particularly in regards to electoral politics. Yet, scholars have failed to recognize that national economic indicators are simply aggregations of local economic information, and the manner in which they are aggregated may not be consistent with the process voters use to acquire, access, and incorporate economic information. We argue that the economic similarities among localities, and the way in which the media report on these similarities, provide more theoretically satisfying means of specifying how local information aggregates into an overall portrait of the national economy. We introduce a novel estimation procedure called the spatial-X ordered logit that offers the chance to model how voters’ evaluations respond to changes in contextualized economic information. Our results support our theory that voters incorporate economic information from other localities with similarly structured economies and in ways that are shaped by media messages. Furthermore, these two specifications offer greater explanatory power than national indicators and other geographical means of aggregating economic information. We conclude by offering a number of implications for research questions ranging from electoral accountability to spatial diffusion processes.

scholarly journals Top economics universities and research institutions in Vietnam: evidence from the SSHPA dataset

2021 ◽  
Author(s):  
AISDL
Keyword(s):  
Research Output ◽  
Scientific Productivity ◽  
Economic Research ◽  
Age Group ◽  
Age And Gender ◽  
Bayesian Analyses ◽  
Research Institutes ◽  
And Gender ◽  
Journal Impact

Economic research is vital for creating more suitable policies to facilitate economic growth. Employing a combination of descriptive and Bayesian analyses, this paper investigates the research landscape of the economics discipline in Vietnam, in particular, the leading affiliations in the field and how these institutions compare to each other in terms of productivity, the number of lead authors, new authors and publications' journal impact factor. We also examine the differences in the authors' productivity based on their age and gender. The dataset extracted from the SSHPA database includes 1,444 articles. The findings show that among top producers of economic research in Vietnam, seven are universities, leaving only one representative of research institutes. These top producers account for 52% of research output among 178 institutes recorded in the database. We also find a correlation between a researcher's affiliation, sex, and scientific productivity in Vietnam's economic discipline. Overall, publications by male researchers outnumber those by female ones in most of the top affiliations. The findings also indicate that 40–44 is the age group with the highest scientific productivity. Researchers' collaboration, which is observed through co-authorship, is on the rise in all of the top eight economic research affiliations. However, the quality of current Vietnam's scientific works in the discipline is questionable. Therefore, it is suggested that in order to sustain scientific productivity, economic researchers might need to balance the quantity and quality of their contributions.

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