Are government and IMF forecasts useful? An application of a new market-timing test

Economics Letters

Volumn 118, Issue 1, 2013, Pages 118-120

  Tsuchiya, Yoichi ^a  

^a UNIVERSITY AT BUFFALO   (United States)

Author keywords

Directional analysis; Forecast evaluation; Macroeconomic forecast; Market timing test

Indexed keywords

EID: 84868624344     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2012.10.005     Document Type: Article

References (17)

1. Artis, M. J., 1996. How accurate are the IMF's short-term forecasts? Another examination of the world economic outlook. IMF Working Paper WP/96/89.
2. Ash J.C.K., Smyth D.J., Heravi S.M. Are OECD forecasts rational and useful? A directional analysis. International Journal of Forecasting 1998, 14:381-391.
3. Ashiya M. The directional accuracy of 15-months-ahead forecasts made by the IMF. Applied Economics Letters 2003, 10:331-333.
4. Ashiya M. Are 16-month-ahead forecasts useful? A directional analysis of Japanese GDP forecasts. Journal of Forecasting 2006, 25:201-207.
5. Ashiya M. Forecast accuracy of the Japanese government: its year-ahead GDP forecast is too optimistic. Japan and the World Economy 2007, 19:68-85.
6. Batchelor R. How useful are the forecasts of intergovernmental agencies? The IMF and OECD versus the consensus. Applied Economics 2001, 33:225-235.
7. Chou C., Chu C.J. Market timing: recent development and a new test. Economics Letters 2011, 111:105-109.
8. Chu C., Lu L., Shi Z. Pitfalls in market timing test. Economics Letters 2009, 103:123-126.
9. Granger C.W.J., Pesaran M.H. Economic and statistical measures of forecast accuracy. Journal of Forecasting 2000, 19:537-560.
10. Henriksson R.D., Merton R.C. On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. Journal of Business 1981, 54:513-533.
11. Pesaran M.H., Timmermann A. A simple nonparametric test of predictive performance. Journal of Business & Economic Statistics 1992, 10:461-465.
12. Pesaran M.H., Timmermann A. How costly is it to ignore breaks when forecasting the direction of a time series?. International Journal of Forecasting 2004, 20:411-425.
13. Pesaran M.H., Timmermann A. Testing dependence among serially correlated multi-category variables. Journal of the American Statistical Association 2009, 485:325-337.
14. Pons J. The accuracy of IMF and OECD forecasts for G7 countries. Journal of Forecasting 2000, 19:53-63.
15. Pons J. The rationality of price forecasts: a directional analysis. Applied Financial Economics 2001, 11:287-290.
16. Schnader M.H., Stekler H.O. Evaluating predictions of change. Journal of Business 1990, 63:99-107.
17. Sinclair T.M., Stekler H.O., Kitzinger L. Directional forecasts of GDP and inflation: a joint evaluation with an application to Federal Reserve predictions. Applied Economics 2010, 42:2289-2297.