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Une comparaison des prévisions des experts à celles issues des modèles B VAR

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  • Sandrine Lardic
  • Auguste Mpacko Priso

Abstract

[eng] A Comparison of Expert Forecasts with BVAR Model Forecasts by Sandrine Lardic and Auguste Mpacko-Priso . This paper checks whether economic and financial experts forecast macroeconomic and financial variables «better» than alternative techniques and in particular the Bayesian method. The BVAR methodology, presented in detail in Lardic and Mpacko-Priso (1996) and summarised in this paper, is used to generate six-month and twelve-month forecasts of the Consumer Price Index, Industrial Production Index, Standard and Poors 425, and Standard and Poors 500 for two samples. These forecasts are then compared with economic and financial expert predictions as well as with forecasts derived from traditional techniques for the same periods of time. Statistical and economic criteria are used to gauge the different forecasts. We show that the BVAR forecasts are generally better than the individual expert forecasts. We conclude that the BVAR methodology merits being used more than it is at present. [fre] Une comparaison des prévisions des experts à celles issues des modèles BVAR par Sandrine Lardic et Auguste Mpacko-Priso . Cet article a pour objet de tester si les prévisions des variables macro-économiques et financières faites par des professionnels de l'économie et de la finance sont «meilleures» que celles issues de techniques alternatives, notamment bayésiennes. Suivant la méthodologie BVAR, les prévisions sur les horizons de six et douze mois des variables Indice des Prix à la Consommation, Indice de la Production Industrielle et Indice Standard and Pors 425 ou Standard and Poors 500 sont générées pour deux échantillons distincts. Ces prévisions sont ensuite comparées à celles des experts de l'économie et de la finance d'une part et à celles issues des techniques traditionnelles de prévision d'autre part. Cette comparaison repose à la fois sur des critères statistiques et économiques.

Suggested Citation

  • Sandrine Lardic & Auguste Mpacko Priso, 1999. "Une comparaison des prévisions des experts à celles issues des modèles B VAR," Économie et Prévision, Programme National Persée, vol. 140(4), pages 161-180.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5982
    DOI: 10.3406/ecop.1999.5982
    Note: DOI:10.3406/ecop.1999.5982
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