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A bootstrap test of the time-varying efficiency of German growth forecasts

Author

Listed:
  • Christian Pierdzioch

    (Helmut-Schmidt-University Hamburg)

Abstract

I use a bootstrap approach to re-examine the time-varying efficiency of growth forecasts for Germany. I argue that, given this small sample of forecasts, the bootstrap approach renders it possible to trace out with more precision than a standard full-sample forecast-efficiency-regression model whether forecasts were efficient at any given point in time. As an empirical application of the bootstrap approach, I present results for six-months-ahead and one-year-ahead growth forecasts published by three German economic research institutes during the sample period 1970$-$2018. The results illustrate that the bootstrap approach, for various configurations of the forecast-efficiency-regression model, yields stronger evidence against forecast efficiency than a conventional full-sample model.

Suggested Citation

  • Christian Pierdzioch, 2023. "A bootstrap test of the time-varying efficiency of German growth forecasts," Economics Bulletin, AccessEcon, vol. 43(1), pages 679-687.
    • Handle: RePEc:ebl:ecbull:eb-22-00768
    as

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    References listed on IDEAS

    as
    1. Holden, K & Peel, D A, 1990. "On Testing for Unbiasedness and Efficiency of Forecasts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 58(2), pages 120-127, June.
    2. Alexander Foltas & Christian Pierdzioch, 2022. "On the efficiency of German growth forecasts: an empirical analysis using quantile random forests and density forecasts," Applied Economics Letters, Taylor & Francis Journals, vol. 29(17), pages 1644-1653, October.
    3. Ullrich Heilemann & Herman O. Stekler, 2013. "Has The Accuracy of Macroeconomic Forecasts for Germany Improved?," German Economic Review, Verein für Socialpolitik, vol. 14(2), pages 235-253, May.
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    More about this item

    Keywords

    Forecast efficiency; Bootstrap; Growth; Germany;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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