What do we mean by econometrics? Econometrics is the field of economics in which statistical methods are developed and applied to estimate economic relationships, test economic theories, and evaluate plans and policies implemented by private industry, government, and supranational organizations. Econometrics encompasses forecasting–not only the high-profile forecasts of macroeconomic and financ...

D espite a significant decline in the pace of economic growth in the second half of 2000, macroeconomic forecasters underpredicted real GDP growth and overpredicted the unemployment rate by a significant amount, for the fifth consecutive year. On average, real GDP forecasts were about 2 percentage points below the actual data for the 1996-2000 period, and unemployment rate forecasts about 0.5 p...

Forecasts of economic time series are often evaluated according to their accuracy as measured by either quantitativeprecision or qualitative reliability. We argue that consumers purchase forecasts for the potentialutility gains from utilizing them, not for theiraccuracy. Using Monte Carlo techniques to incorporate the temporal heteroskedasticity inherent in asset returns,the expected utility of...

Macroeconomic forecasts are used extensively in industry and government even though the historical accuracy and reliability is questionable. Moreover, professional forecasters lack a test environment in which they can test their forecasting ability. We design a play-money market game for economic variables that aggregates macro-economic information. We analyse participation and learning in such...

The performance of techniques for evaluating multivariate volatility forecasts are not yet as well understood as their univariate counterparts. This paper aims to evaluate the efficacy of a range of traditional statistical-based methods for multivariate forecast evaluation together with methods based on underlying considerations of economic theory. It is found that statistical-based methods, or...

In this paper, we model and forecast Australian domestic tourism demand. We use a regression framework to estimate important economic relationships for domestic tourism demand. We also identify the impact of world events such as the 2000 Sydney Olympics and the 2002 Bali bombings on Australian domestic tourism. To explore the time series nature of the data, we use innovation state space models ...

Background In 2003 the Wall Street Journal (WSJ) introduced its Monthly Economic Forecasting Survey. Each month the WSJ polls between 50 and 60 well-known economic experts asking their forecasts of future key economic variables such as GDP, inflation, US treasury rates, unemployment, housing starts, and other data. The forecasts are always for set times of the year, namely the ends of the first...

The paper focuses on regional trade agreements and economic co-operation and develops a new appropriate approach to study their impact on growth and trade. The approach is based on an endogenous trade-growth theory and novelly specified in an economic integration (expenditure) framework which is the conceptual foundation of regional trade agreements. Importantly, it also appropriately takes int...