Title: On the efficiency of German growth forecasts
Subtitle: an empirical analysis using quantile random forests
Authors: Foltas, Alexander 
Pierdzioch, Christian 
Language: en
Keywords: Universitätsbibliographie;Evaluation 2020
Subject (DDC): DDC::300 Sozialwissenschaften::330 Wirtschaft
Issue Date: 2020
Publisher: Humboldt-Universität zu Berlin, Computer- und Medienservice Elektronisches Publizieren
Document Type: Working Paper
Journal / Series / Working Paper (HSU): Working Papers of the Priority Programme 1859 
Volume: 21
Pages: 22 Seiten
Publisher Place: Berlin
Abstract: 
We use quantile random forests (QRF) to study the efficiency of the growth forecasts published by three leading German economic research institutes for the sample period from 1970 to 2017. To this end, we use a large array of predictors, including topics extracted by means of computational-linguistics tools from the business-cycle reports of the institutes, to model the information set of the institutes. We use this array of predictors to estimate the quantiles of the conditional distribution of the forecast errors made by the institutes, and then fit a skewed t-distribution to the estimated quantiles. We use the resulting density forecasts to compute the log probability score of the predicted forecast errors. Based on an extensive insample and out-of-sample analysis, we find evidence, particularly in the case of longer-term forecasts, against the null hypothesis of strongly efficient forecasts. We cannot reject weak efficiency of forecasts.
Organization Units (connected with the publication): VWL, insb. Monetäre Ökonomik 
URL: https://ub.hsu-hh.de/DB=1.8/XMLPRS=N/PPN?PPN=1733294201
https://edoc.hu-berlin.de/bitstream/handle/18452/22627/SPPWP_21_2020_Foltas_Pierdzioch.pdf?sequence=3&isAllowed=y
Appears in Collections:2020

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