Evaluating Forecasts of a Vector of Variables: A German Forecasting Competition

20 Pages Posted: 29 Jul 2014 Last revised: 30 Jul 2014

See all articles by Hans Christian Mueller

Hans Christian Mueller

Independent

Tara M. Sinclair

George Washington University - Department of Economics; George Washington University - Elliott School of International Affairs (ESIA); George Washington University - Institute For International Economic Policy (GWIIEP); George Washington University - Research Program on Forecasting; George Washington University - George Washington Institute of Public Policy (GWIPP); Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA); Halle Institute for Economic Research

H.O. Stekler

George Washington University - Department of Economics

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

Suggested Citation

Mueller, Hans Christian and Sinclair, Tara M. and Stekler, H.O., Evaluating Forecasts of a Vector of Variables: A German Forecasting Competition (July 2014). CAMA Working Paper No. 55/2014. Available at SSRN: https://ssrn.com/abstract=2473362 or http://dx.doi.org/10.2139/ssrn.2473362

Hans Christian Mueller

Independent ( email )

Tara M. Sinclair (Contact Author)

George Washington University - Department of Economics ( email )

2115 G Street NW
Monroe Hall Suite 340
Washington, DC 20052
United States
202-944-7988 (Phone)
202-994-6147 (Fax)

HOME PAGE: http://home.gwu.edu/~tsinc/

George Washington University - Elliott School of International Affairs (ESIA) ( email )

2201 G Street, N.W.
Washington, DC 20052
United States
202-994-7988 (Phone)
202-994-6147 (Fax)

HOME PAGE: http://home.gwu.edu/~tsinc/

George Washington University - Institute For International Economic Policy (GWIIEP) ( email )

1957 E Street, N.W.
Suite 502
Washington, DC 20052
United States

George Washington University - Research Program on Forecasting ( email )

1922 F Street, NW
Old Main, Suite 208
Washington, DC 20052
United States

George Washington University - George Washington Institute of Public Policy (GWIPP) ( email )


United States

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
Australia

Halle Institute for Economic Research ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06017 Halle, 06108
Germany

HOME PAGE: http://www.dpe-halle.de/asp/person.asp?xtr&Lang=e

H.O. Stekler

George Washington University - Department of Economics ( email )

2115 G ST NW
Washington, DC 20052
United States
202-994-1261 (Phone)
202-994-6147 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
13
Abstract Views
254
PlumX Metrics