Abstract Details
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Activity Number:
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460
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Type:
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Contributed
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Date/Time:
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Wednesday, August 6, 2014 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #311057
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View Presentation
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Title:
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Testing for and Estimating Arbitrarily Time-varying Forecast Bias
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Author(s):
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Neil Ericsson*+
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Companies:
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Keywords:
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Autometrics ;
impulse indicator saturation ;
debt ;
projections ;
federal government ;
United States
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Abstract:
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Impulse indicator saturation (IIS) generalizes the standard Mincer-Zarnowitz test of time-invariant forecast bias by allowing for arbitrarily time-varying forecast bias. Using both approaches, the current paper analyzes potential biases in different U.S. government agencies' one-year-ahead forecasts of U.S. gross federal debt over 1984-2012. Standard tests typically fail to detect biases, whereas IIS detects economically large and highly significant time-varying biases, particularly at turning points in the business cycle. IIS defines a generic procedure for examining forecast properties; it explains why standard tests fail to detect bias; and it provides a mechanism for potentially improving forecasts.
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Authors who are presenting talks have a * after their name.
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