Analysis of Forecast Errors in Micro-Level Survey Data

23 Pages Posted: 15 Mar 2014

See all articles by Maritta Paloviita

Maritta Paloviita

Bank of Finland - Research

Matti Viren

Bank of Finland - Research

Date Written: February 25, 2014

Abstract

​This paper studies forecasts errors at the micro level using two alternative survey data sets. The main focus is on inflation and real GDP growth forecasts in the ECB Survey of Professional Forecasters. For comparison, inflation forecasts in the US Survey of Professional Forecasters are also examined. Our analysis indicates that forecast errors are positively related to the subjective uncertainties based on probability distributions, but not to disagreement (standard deviation of point forecasts). We also show that forecast errors, which are rather persistent, are related to forecast revisions. Revisions of expectations generally lead to larger forecast errors. Subjective uncertainty measures, which are available at the time of forecasting, are useful in assessing future forecast errors.

Keywords: forecasting, survey data, expectations

JEL Classification: C53, E37, E31

Suggested Citation

Paloviita, Maritta and Viren, Matti, Analysis of Forecast Errors in Micro-Level Survey Data (February 25, 2014). Bank of Finland Research Discussion Paper No. 8/2014, Available at SSRN: https://ssrn.com/abstract=2408516 or http://dx.doi.org/10.2139/ssrn.2408516

Maritta Paloviita (Contact Author)

Bank of Finland - Research ( email )

P.O. Box 160
FIN-00101 Helsinki
Finland
+358 9 1831 (Phone)
+358 9 1832560 (Fax)

Matti Viren

Bank of Finland - Research ( email )

P.O Box 160
FIN-00101 Helsinki
Finland
+358 10 831 2563 (Phone)
+358 10 831 2294 (Fax)

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