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Prognosegüte alternativer Früh Indikatoren für die Konjunktur in Deutschland / Forecasting Performance of Alternative Indicators for the German Economy

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  • Benner Joachim

    (Institut für Weltwirtschaft an der Universität Kiel, Deutsche Konjunktur, Düsternbrooker Weg 120, D-24105 Kiel. Tel.: ++49/+4 31/ 8 8141, Fax: +-M9/+4 31/8 8145 25, Germany)

  • Meier Carsten-Patrick

    (Institut für Weltwirtschaft an der Universität Kiel, Deutsche Konjunktur, Düsternbrooker Weg 120, D-24105 Kiel. Tel.: ++49/+4 31/ 8 8141, Fax: +-M9/+4 31/8 8145 25, Germany)

Abstract

Analyses of the fit of forecasts should not only observe the forecast errors which are based on the estimation of the parameters but also those based on the uncertainty from selecting the specification of the forecasting model from the sample data. We argue that it is important to estimate the parameters and also the model selection recursively. In this paper we compare the forecasting ability of three important German business cycle indicators: the ifo business expectations, the ZEW business expectations and the „Earlybird“ Indicator published in „Wirtschaftswoche“. Our results show that the forecast errors are higher when using the more realistic recursive model selection instead of using the non-recursive specification. In certain cases the analysed business cycle indicators provide better forecasts than the naive forecast based on its own lagged values.

Suggested Citation

  • Benner Joachim & Meier Carsten-Patrick, 2004. "Prognosegüte alternativer Früh Indikatoren für die Konjunktur in Deutschland / Forecasting Performance of Alternative Indicators for the German Economy," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(6), pages 639-652, December.
    • Handle: RePEc:jns:jbstat:v:224:y:2004:i:6:p:639-652
    DOI: 10.1515/jbnst-2004-0602
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    References listed on IDEAS

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    1. Ulrich Fritsche, 1999. "Vorlaufeigenschaften von Ifo-Indikatoren für Westdeutschland," Discussion Papers of DIW Berlin 179, DIW Berlin, German Institute for Economic Research.
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    5. Brüggemann, Ralf & Lütkepohl, Helmut, 2000. "Lag selection in subset VAR models with an application to a US monetary system," SFB 373 Discussion Papers 2000,37, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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    8. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
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    Cited by:

    1. Drechsel, Katja & Scheufele, Rolf, 2012. "The performance of short-term forecasts of the German economy before and during the 2008/2009 recession," International Journal of Forecasting, Elsevier, vol. 28(2), pages 428-445.
    2. Nikolay Robinzonov & Klaus Wohlrabe, 2010. "Freedom of Choice in Macroeconomic Forecasting ," CESifo Economic Studies, CESifo Group, vol. 56(2), pages 192-220, June.

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