Evaluating Forecasts of a Vector of Variables: A German Forecasting Competition
20 Pages Posted: 29 Jul 2014 Last revised: 30 Jul 2014
Date Written: July 2014
Abstract
In this paper we present an evaluation of forecasts of a vector of variables of the German economy made by different institutions. Our method permits one to evaluate the forecasts for each year and then if one is interested to combine the years. We use our method to determine an overall winner for a forecasting competition across twenty-five different institutions for a single time period using a vector of eight key economic variables. Typically forecasting competitions are judged on a variable-by-variable basis, but our methodology allows us to determine how each competitor performed overall. We find that the Bundesbank was the overall winner for 2013.
Keywords: Mahalanobis Distance, forecasting competition, GDP components, German macroeconomic data
JEL Classification: C5, E2, E3
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