Comparing Information in Forecasts from Econometric Models
نویسنده
چکیده
The information contained in one model’s forecast compared to that in another can be assessed from a regression of actual values on predicted values from the hvo models. We do this for forecasts of real GNP growth rates for different pairs of models. The models include a structural model (the Fair (1976) model), uariour versions of the vector autoregressive (VAR) model, and various versions of n model we call the “autoregressiue components” (AC) model. Our procedure requires that forecasts make no we of future information, and we have been careful to try to insure this, including using the version of the Fair model that existed in 1976, the beginning of our test period. (JEL 132)
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