An analytic function method is applied to illustrate Geweke (2010)’s three econometric interpretations for a generic rational expectations (RE) model. This makes the model’s cross-equation restrictions imposed by each RE econometric interpretation explicit, formal, and simple. It is shown that the degree of identification on the deep parameters is inversely related to the strength of underlying...

One important feature of econometric macro-models is their structural equations include several identities. The main aim of this paper is to attempt a critical look at the nature and role of identities in empirical modeling. The argument, in a nutshell, is that most of the identities included as an integral part of the model are just accounting identities that have no place in such models. This...

We investigate the econometric properties of the Federal Reserve Greenbook forecasts with an integrated real-time database of U.S. macroeconomic data that more precisely characterizes the information sets available to Fed policy makers in advance of the Open Market Committee meetings. Our data set associates historical vintages of NIPA and labor market data with the exact dates of the Greenbook...

First reported monthly and quarterly time series data on nine macroeconomic variables from 1960-1993 are given. Features of this so called "unrevised" or " ̄rst reported data" are discussed, and the data is compared with standard "fully revised" data using Granger causality tests. We reiterate that for the purposes of real-time forecating as well as comparing professional forecasts with traditio...

It has been observed that older high traffic motorways experience lower traffic growth than newer ones (ceteris paribus). This phenomenon is known as traffic maturity; however, it is not captured through traditional time-series long-term forecasts, due to constant elasticity to GDP these models assume. In this paper we argue that traffic maturity results from decreasing marginal utility of tran...

Forecasting is required in many situations: deciding whether to build another power generation plant in the next five years requires forecasts of future demand; scheduling staff in a call centre next week requires forecasts of call volume; stocking an inventory requires forecasts of stock requirements. Forecasts can be required several years in advance (for the case of capital investments), or ...

The GDP forecasting is a prior concern for each country, but also for an entire region composed by more countries with specific and different evolutions of GDP. The GDP predictions for the 27 European Union are based on two econometric techniques. It was proved, using accuracy indicators like U1 and U2 Theil’s coefficients and statistical tests (Morgan-Granger-Newbold test, Harvey-Leybourne-New...