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標題: Are forecast updates progressive?
關鍵字: Macroeconomic forecasts
Econometric models
Progressive forecast updates
Forecast errors
摘要: Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component,which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. Ifforecast updates are progressive, forecast updates should become more accurate, on average, as the actual value is approached.Otherwise, forecast updates would be neutral. The paper proposes a methodology to test whether macroeconomic forecast updatesare progressive, where the interaction between model and intuition is explicitly taken into account. The data set for the empiricalanalysis is for Taiwan, where we have three decades of quarterly data available of forecasts and their updates of the inflation rateand real GDP growth rate. Our empirical results suggest that the forecast updates for Taiwan are progressive, and that progress canbe explained predominantly by improved intuition.
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