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The Informational Content of Ex Ante Forecasts

Ray C. Fair^1,2; Robert J. Shiller³

¹ Yale School of Management - International Center for Finance · ² Yale University - Cowles Foundation · ³ National Bureau of Economic Research

The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and Shiller (1987) to examine the informational content of three sets of ex ant. forecasts: the American Statistical Association and National Bureau of Economic Research Survey (ASA), Data Resources Incorporated (DRI), and Wharton Economic Forecasting Associates (UEFA). We compare these forecasts to each other and to quasi ex ante forecasts generated from a vector autoregressive model, an autoregressive components model, and a large-scale structural model (the Fair model).

DOI

10.2307/1926979

Volume

71 (2)

Pages

325

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