We examine the forecasting record of HM Treasury for GDP and the RPI from 1971 to the present. As well as presenting the usual
statistical measures of performance, such as Root Mean Squared Errors, and regression tests of forecast efficiency and bias, we test
for any relationship between the errors in GDP and RPI forecasts. Confidence intervals are constructed using a classical statistical
approach based on past forecast errors, which is similar to that employed in this Review to describe forecast uncertainty.
Get full access to this article
View all access options for this article.
References
1.
Blake, A.P. (1996), 'Forecast error bounds by stochastic simulation' , National Institute Economic Review, no. 156, pp. 72-79.
2.
Britton, A. and Pain, N. (1992), 'Economic forecasting in Britain', National Institute Report no. 4.
3.
Britton, E., Fisher P. and Whitley, J., (1998), 'The Inflation Report projections: understanding the fan chart', Bank of England Quarterly Bulletin, February, pp. 30-37.
4.
Clements, M.P. (1995), 'Rationality and the role of judgement in macroeconomic forecasting', Economic Journal, vol. 105, pp. 510-520.
5.
Clements, M.P. (1997), 'Evaluating the rationality of fixed-event forecasts ', Journal of Forecasting, vol. 16, pp. 225-239.
6.
Hendry, D.E. (1997), 'The econometrics of macroeconomic forecasting ', Economic Journal, vol. 107, pp. 1330-1357.
7.
Holden, K. and Peel, D.A. (1985), 'An evaluation of quarterly National Institute forecasts, Journal of Forecasting, vol. 4 pp. 227-234.
8.
Holden, K. and Peel, D.A. (1990), 'On testing for unbiasedness and efficiency of forecasts', The Manchester School, vol. 58, no. 2, pp. 120-127.
9.
H M Treasury, (1994), Memorandum on Official Economic Forecasting, House of Commons Paper 532(i), session 1990-91 . Reprinted as GES Working Paper no. 121.
10.
H M Treasury, (1997), The Economy and Public Finances: Supplementary Material. Pre-Budget Report Publications, November.
11.
Melliss, C. (1997), 'The Treasury forecasting record: an evaluation ', ESRC Macroeconomic Modelling Bureau Discussion Paper no. 47, August.
12.
Office for National Statistics (1997), 'Quarterly alignment adjustments in the UK National Accounts', Economic Trends, November.
13.
Pain, N. (1994), 'Cointegration and forecast evaluation: some lessons from National Institute forecasts', Journal of Forecasting , vol. 13, pp. 481-494.
14.
Poulizac, D., Weale, M. and Young, G. (1996), 'The performance of National Institute economic forecasts', National Institute Economic Review, no. 156, pp. 55-62.
15.
Theil H. (1966), 'Applied economic forecasting'North-Holland Publishing, Amsterdam.
