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Prévisions : mesures, erreurs et principaux résultats

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  • Karine Bouthevillain
  • Alexandre Mathis

Abstract

[fre] Prévisions : mesures, erreurs et principaux résultats . Trop souvent, le travail des prévisionnistes est jugé uniquement à l'aune des erreurs qu'ils commettent. Cette vision est trop partielle. La prévision participe de l'information des acteurs économiques. Elle intervient dans la validation de certaines mesures de politique économique et dans la prise de décision des agents privés. Certes, les in- truments statistiques et les raisonnements théoriques demeurent, malgré leurs avancées, parfois insuffisants pour rendre compte de la réalité. Mais l'univers économique, de par la multiplicité de ses agents et de ses marchés, devient de plus en plus complexe et incertain. . L'étude des erreurs de prévision permet d'évaluer leur qualité. Leur analyse contribue moins à mesurer un niveau absolu qu'une précision relative. Ainsi, les prévisions élaborées surclassent-elles le plus souvent l'extrapolation statistique, notamment lorsque l'exercice porte sur un horizon exploratoire, supérieur à un an. Certaines variables sont mieux prévues que d'autres : les prévisions du PIB et des prix sont, en moyenne, meilleures que celles sur l'investissement et le commerce extérieur. Par ailleurs, une prévision portant sur une variable très fluctuante, sera . plus difficile mais aussi plus informative que celle relative à un agrégat dont les évolutions sont régulières. Enfin, le consensus, qui combine l'ensemble des prévisions disponibles, ne garantit pas contre des erreurs importantes, en particulier celles qui correspondent aux retournements conjoncturels. [eng] Forecasts: Measurements, Errors and Main Results . Far too often, the work of forecasters is judged solely on the basis of the mistakes they make. This view is unduly one-sided. Forecasts play a role in economic players' information. They are used when checking certain economic policy measures and help private players make decisions. Yet, in spite of progress made, the statistical instruments and theoretical rationale are sometimes still not good enough to reflect reality. Although it has to be said that the increasing number of players and markets involved in the economic world are making it more and more complex and uncertain. . The study of forecast errors provides an assessment of their quality. Their analysis contributes less to measuring an absolute level than relative accuracy. Therefore, the forecasts put together more often than not exceed the statistical extrapolation, especially when the exercise concerns an exploratory forecast period of more than one year. Some variables are forecast better than others: the GDP and price forecasts are generally better than the investment and foreign trade predictions. Moreover, a forecast concerning a frequently fluctuating variable is . more difficult, albeit more informative, than that relating to an aggregate with regular growth. Lastly, the consensus combining all the available forecasts does not guarantee against considerable errors, in particular when economic turnarounds are concerned. [ger] Prognosen: Messung, Fehler und wichtigste Ergebnisse . Allzu hâufig wird die Arbeit der Prognosefachleute nur auf der Grundlage der Fehler beurteilt, die ihnen unterlaufen. Diese Sichtweise ist jedoch zu einseitig. Denn Prognosen tragen zur Unterrichtung der Wirtschaftssubjekte bei. Sie werden zur Rechtfertigung bestimmter wirtschaftspoliti- scher MaBnahmen herangezogen und dienen den Privathaushalten als Entscheidungshilfe. Die statistischen Instrumente und die theoretischen Ûberlegungen reichen trotz ihrer Fortschritte mitunter nicht aus, um die Realitât voll und ganz wiederzugeben. Das wirtschaftliche Umfeld wird aber aufgrund der Vielfalt seiner Wirtschaftssubjekte und seiner Mârke immer komplexer und ungewisser. . Die Untersuchung der Fehler einer Prognose ermôglicht es, deren Gûte zu ermitteln. Mit deren Analyse làBt sich jedoch weniger ein absolutes Niveau als eine relative Ge- . nauigkeit messen. Somit sind die fortschrittlichen Prognosen des ôfteren der statistischen Extrapolation uberlegen, insbesondere wenn sie sich auf einen làngeren Horizont beziehen, der ein Jahr ùbersteigt. Manche Variablen las- sen sich besser prognostizieren als andere: die Prognosen des BIP und der Preise sind im Durchschnitt zuverlâssiger als die Investitions- und AuBenhandelspro- gnosen. Die Prognose einer Variablen, die groBen Schwankungen unterliegt, ist zwar schwieriger, hat dafur aber einen grôBeren Aussagewert als bei einem Aggregat, dessen Entwicklungen regelmâBig verlaufen. Im ubrigen bietet der Konsens, der alien verfugbaren Prognosen zu- grunde liegt, kein Schutz vor groben Fehlern, insbesondere vor Fehlern, die durch Konjunktu- rumschlâge bedingt sind. [spa] Previsiones : medidas, errores y principales resultados . Con demasiada frecuencia se enjuicia el trabajo de los previsionistas ûnicamente segûn los errores que cometen. Es una vision sumamente parcial. La prevision participa de la informaciôn de los actores econômicos. Interviene en la validaciôn de ciertas medidas de polftica econômica y en la toma de decision de los agentes privados. Si que los instrumentos stadfsticosylosrazonamientosteôricossiguensiendo insuficientes para dar cuenta de la realidad. Pero el universoeconômico.por la multiplicidad de sus agentes y de sus mercados, se hace cada vez mâs complejo e incierto. . El estudio de los errores de prevision permite evaluar su calidad. Antes que un nivel absoluto su anâlisis contribuye a medir una precision relativa. Asî, las previsiones elaboradas rebasan muy a menudo la extrapolaciôn estadfstica, sobre todo cuando el ejercicio recae sobre un horizonte exploratorio superior a un ano. Ciertas variables se preven con mâs facilidad que otras : las previsiones del . PIB y de los precios son, en un promedio, mejores que las que se hacen sobre la inversion o el comercio exterior. Por otra parte, una prevision que recaiga sobre una variable muy fluctuante, sera mas dificil pero también mâs informativa que la que atane a un agregado cuyas evoluciones son regulares. Finalmente, el consenso, que combina la totalidad de las previsiones disponibles, no ofrece garantias contra errores importantes, en especial contra aquellos que se corresponden con los cambios totales de coyuntura.

Suggested Citation

  • Karine Bouthevillain & Alexandre Mathis, 1995. "Prévisions : mesures, erreurs et principaux résultats," Économie et Statistique, Programme National Persée, vol. 285(1), pages 89-100.
  • Handle: RePEc:prs:ecstat:estat_0336-1454_1995_num_285_1_5982
    DOI: 10.3406/estat.1995.5982
    Note: DOI:10.3406/estat.1995.5982
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    References listed on IDEAS

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    1. Victor Zarnowitz, 1978. "On the Accuracy and Properties of Recent Macroeconomic Forecasts," NBER Working Papers 0229, National Bureau of Economic Research, Inc.
    2. Catherine Doz, 1993. "Note sur les tests de rationalité des prévisions," Économie et Prévision, Programme National Persée, vol. 108(2), pages 129-133.
    3. Catherine Doz & Pierre Malgrange, 1992. "Modèles VAR et prévisions à court terme," Économie et Prévision, Programme National Persée, vol. 106(5), pages 109-122.
    4. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 5-15, January.
    5. Karine Bouthevillain, 1993. "La prévision macro-économique : précision relative et consensus," Économie et Prévision, Programme National Persée, vol. 108(2), pages 97-126.
    6. Alexandre Mathis & Andrew Brociner, 1994. "Retour vers le futur. Une analyse rétrospective des prévisions de MOSAÏQUE," Revue de l'OFCE, Programme National Persée, vol. 49(1), pages 207-228.
    7. Victor Zarnowitz, 1986. "The Record and Improvability of Economic Forecasting," NBER Working Papers 2099, National Bureau of Economic Research, Inc.
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    11. Victor Zarnowitz, 1991. "Has Macro-Forecasting Failed?," NBER Working Papers 3867, National Bureau of Economic Research, Inc.
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    1. Peaucelle, Irina, 1996. "Prévisions de court terme pour analyser les réformes en Russie (les)," CEPREMAP Working Papers (Couverture Orange) 9610, CEPREMAP.

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