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The Treasury Forecasting Record: Some New Results

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  • Chris Melliss
  • Rod Whittaker

Abstract

We examine the forecasting record of HM Treasury for GDP and the RPI from 1971 to the present. As well as presenting the usual statistical measures of performance, such as Root Mean Squared Errors, and regression tests of forecast efficiency and bias, we test for any relationship between the errors in GDP and RPI forecasts. Confidence intervals are constructed using a classical statistical approach based on past forecast errors, which is similar to that employed in this Review to describe forecast uncertainty .

Suggested Citation

  • Chris Melliss & Rod Whittaker, 1998. "The Treasury Forecasting Record: Some New Results," National Institute Economic Review, National Institute of Economic and Social Research, vol. 164(1), pages 65-79, April.
    • Handle: RePEc:sae:niesru:v:164:y:1998:i:1:p:65-79
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    1. repec:lan:wpaper:539557 is not listed on IDEAS
    2. Grant Allan, 2012. "Evaluating the usefulness of forecasts of relative growth," Working Papers 1214, University of Strathclyde Business School, Department of Economics.
    3. Vasconcelos de Deus, Joseph David Barroso & de Mendonça, Helder Ferreira, 2017. "Fiscal forecasting performance in an emerging economy: An empirical assessment of Brazil," Economic Systems, Elsevier, vol. 41(3), pages 408-419.
    4. repec:lan:wpaper:413 is not listed on IDEAS
    5. Ormerod, Paul & Mounfield, Craig, 2000. "Random matrix theory and the failure of macro-economic forecasts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 497-504.
    6. repec:lan:wpaper:470 is not listed on IDEAS
    7. repec:lan:wpaper:425 is not listed on IDEAS

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