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Macroeconomic Forecasts Under the Prism Of Error-Correction Models, Research Paper 9728

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Macroeconomic Forecasts Under the Prism Of Error-Correction Models, Research Paper 9728

DATE: September 1997

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ABSTRACT: When the error correction term exhibits persistence, its change may convey useful information about short-run economic dynamics, which, if not taken sufficiently into account by a forecasting model, could be associated with predictable forecast errors. Such errors are documented in the DRI forecasts for the U.S. consumption, GNP and imports. The strong results, together with the very general assumptions behind the theoretical framework, suggest that similar predictable errors may be pervasive in the forecasts of other large-scale econometric models. Key Words: Error Correction Models, Forecasting, Consumption, GNP, Imports.

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Antzoulatos, Angelos A. "Macroeconomic Forecasts Under the Prism Of Error-Correction Models, Research Paper 9728," Research Papers (Federal Reserve Bank of New York) (September 1997). https://fraser.stlouisfed.org/title/6570/item/615580, accessed on March 29, 2023.

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THEMES: CLASSIFICATION:
  • lcc: HG136 .R45 no.9728
IDENTIFIERS:
  • oclc: 37934309
  • repec: fip:fednrp:9728
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