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"The Informational Content of Ex Ante Forecasts,"
(with R. J. Shiller),
The Review of Economics and Statistics, May 1989, 325-331.
The informational content of different forecasts can be compared by
regressing the actual change in a variable to be 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 ante forecasts:
the American Statistical Association and National Bureau of Economic
Research Survey (ASA), Data Resources Incorporated (DRI), and Wharton
Economic Forecasting Associates (WEFA). We compare these forecasts
to each other and to "quasi ex ante" forecasts generated from a vector
autoregressive model, an autoregressive components model, and a
large-scale structural model (the Fair model).
This paper is an application of the method in
1990#1. Various ex ante forecasts are examined.