IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v80y2018i6p1213-1242.html
   My bibliography  Save this article

Combining Model‐Based Near‐Term GDP Forecasts and Judgmental Forecasts: A Real‐Time Exercise for the G7 Countries

Author

Listed:
  • W. Jos Jansen
  • Jasper M. de Winter

Abstract

We investigate the effects of combining model‐based near‐term GDP forecasts and judgmental (quarterly) forecasts by professional analysts (Consensus forecasts) in a real‐time setting for the G7 countries over the years 1999–2013. Model‐based forecasts are produced by a dynamic factor model (DFM). We consider as combination schemes the weighted average and the linear combination. Combining with subjective information delivers sizable gains in forecasting ability of statistical models for all countries except Japan, even when subjective forecasts are somewhat dated. Accuracy gains are much more pronounced in the volatile period after 2008 due to a marked improvement in predictive power of Consensus forecasts relative to the DFM. A possible explanation is that mechanical models may be more vulnerable to extreme observations in estimation samples. Consensus forecasts are superior at the moment of publication for most countries since 2008. For some countries forecast combinations can improve upon Consensus forecasts in between the quarterly release dates of the Consensus survey.

Suggested Citation

  • W. Jos Jansen & Jasper M. de Winter, 2018. "Combining Model‐Based Near‐Term GDP Forecasts and Judgmental Forecasts: A Real‐Time Exercise for the G7 Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(6), pages 1213-1242, December.
    • Handle: RePEc:bla:obuest:v:80:y:2018:i:6:p:1213-1242
    DOI: 10.1111/obes.12250
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/obes.12250
    Download Restriction: no
    File URL: https://libkey.io/10.1111/obes.12250?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dorinth van Dijk & Jasper de Winter, 2023. "Nowcasting GDP using tone-adjusted time varying news topics: Evidence from the financial press," Working Papers 766, DNB.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:80:y:2018:i:6:p:1213-1242. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfeixuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.