Format:
1 Online-Ressource (circa 44 Seiten)
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ISBN:
9781484386187
Series Statement:
IMF working paper WP/18, 260
Content:
I regress real GDP growth rates on the IMF's growth forecasts and find that IMF forecasts behave similarly to those generated by overfitted models, placing too much weight on observable predictors and underestimating the forces of mean reversion. I identify several such variables that explain forecasts well but are not predictors of actual growth. I show that, at long horizons, IMF forecasts are little better than a forecasting rule that uses no information other than the historical global sample average growth rate (i.e., a constant). Given the large noise component in forecasts, particularly at longer horizons, the paper calls into question the usefulness of judgment-based medium and long-run forecasts for policy analysis, including for debt sustainability assessments, and points to statistical methods to improve forecast accuracy by taking into account the risk of overfitting
Additional Edition:
Erscheint auch als Druck-Ausgabe Hellwig, Klaus-Peter Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections Washington, D.C. : International Monetary Fund, 2018 ISBN 9781484386187
Language:
English
Keywords:
Graue Literatur
DOI:
10.5089/9781484386187.001
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