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Econometric GNP forecasts: Incremental information relative to naive extrapolation

Publication ,  Journal Article
Clemen, RT; Guerard, JB
Published in: International Journal of Forecasting
January 1, 1989

Recent studies of macroeconomic forecasts have focused primarily on the relative performance of individual forecasts and combinations thereof. We suggest that these forecasts be evaluated in terms of the incremental information that they provide relative to a simple extrapolation forecast. Using a Bayesian approach, we measure the incremental information contained in econometric forecasts of U.S. GNP relative to a random-walk-with-drift time series forecast. The results indicate that (1) substantial incremental gains can be obtained from econometric GNP forecasts for the current quarter, but that these gains decrease rapidly as the forecast horizon increases, and (2) after one econometric forecast has been consulted, subsequent such forecasts add little information. © 1989.

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Published In

International Journal of Forecasting

DOI

ISSN

0169-2070

Publication Date

January 1, 1989

Volume

5

Issue

3

Start / End Page

417 / 426

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 1505 Marketing
  • 1403 Econometrics
  • 0104 Statistics
 

Citation

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Clemen, R. T., & Guerard, J. B. (1989). Econometric GNP forecasts: Incremental information relative to naive extrapolation. International Journal of Forecasting, 5(3), 417–426. https://doi.org/10.1016/0169-2070(89)90045-9
Clemen, R. T., and J. B. Guerard. “Econometric GNP forecasts: Incremental information relative to naive extrapolation.” International Journal of Forecasting 5, no. 3 (January 1, 1989): 417–26. https://doi.org/10.1016/0169-2070(89)90045-9.
Clemen RT, Guerard JB. Econometric GNP forecasts: Incremental information relative to naive extrapolation. International Journal of Forecasting. 1989 Jan 1;5(3):417–26.
Clemen, R. T., and J. B. Guerard. “Econometric GNP forecasts: Incremental information relative to naive extrapolation.” International Journal of Forecasting, vol. 5, no. 3, Jan. 1989, pp. 417–26. Scopus, doi:10.1016/0169-2070(89)90045-9.
Clemen RT, Guerard JB. Econometric GNP forecasts: Incremental information relative to naive extrapolation. International Journal of Forecasting. 1989 Jan 1;5(3):417–426.
Journal cover image

Published In

International Journal of Forecasting

DOI

ISSN

0169-2070

Publication Date

January 1, 1989

Volume

5

Issue

3

Start / End Page

417 / 426

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 1505 Marketing
  • 1403 Econometrics
  • 0104 Statistics