Document Type
Discussion Paper
Publication Date
1-1-1988
CFDP Number
857
CFDP Pages
17
Abstract
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).
Recommended Citation
Fair, Ray C. and Shiller, Robert J., "The Informational Content of Ex Ante Forecasts" (1988). Cowles Foundation Discussion Papers. 1100.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1100