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Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance

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  • Victor Zarnowitz
  • Phillip Braun
Abstract
The National Bureau of Economic Research, in co-operation with the American Statistical Association, conducted a regular quarterly survey of professional macroeconomic forecasters for 22 years beginning in 1968. The survey produced a mass of information about characteristics and results of the forecasting process. Many studies have already used some of this material. but this is the first comprehensive examination of all of It, This report addresses several subjects and produces findings on each, as follows: (I) The distributions of error statistics across the forecasters: the dispersion among the individual predictions is often large and it typically increases with forecast horizon, as do the mean absolute (or squared) errors. (2) The role of the time-series properties of the target data: the more volatile the time series, the larger as a rule are the errors of the forecasts. (3) The role of revisions in "actual" data: forecast errors tend to be larger the greater the extent of the revisions. (4) Differences by subperiod: there is little evidence of an overall improvement or deterioration in forecasts between the 1970s and the 19805. (5) Combining the individual forecasts into group mean or "consensus" forecasts: this generally results in large gains in accuracy. (6) Comparisons with a well-known macroeconometric model: the group forecasts are more accurate for most but not all variables and spans. (7) Comparisons with state-of-the-art time series models: the group forecasts and at least half of the individual forecasts tend to outperform Bayesian vector autoregressive models in most (but not all) cases. The univariate ARIMA forecasts arc generally the weakest.

Suggested Citation

  • Victor Zarnowitz & Phillip Braun, 1992. "Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance," NBER Working Papers 3965, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:3965
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    References listed on IDEAS

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    1. Vincent Su & Josephine Su, 1975. "An Evaluation of ASA/NBER Business Outlook Survey Forecasts," NBER Chapters, in: Explorations in Economic Research, Volume 2, number 4, pages 588-618, National Bureau of Economic Research, Inc.
    2. Victor Zarnowitz & Louis A. Lambros, 1983. "Consensus and Uncertainty in Economic Prediction," NBER Working Papers 1171, National Bureau of Economic Research, Inc.
    3. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
    4. Zarnowitz, Victor, 1985. "Rational Expectations and Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 293-311, October.
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    6. Dominguez, Kathryn M & Fair, Ray C & Shapiro, Matthew D, 1988. "Forecasting the Depression: Harvard versus Yale," American Economic Review, American Economic Association, vol. 78(4), pages 595-612, September.
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    8. Victor Zarnowitz, 1972. "The Business Cycle Today: An Introduction," NBER Chapters, in: Economic Research: Retrospect and Prospect, Volume 1, The Business Cycle Today, pages 1-38, National Bureau of Economic Research, Inc.
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