COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 857 "The Informational Content of Ex Ante Forecasts" Ray C. Fair and Robert J. Shiller January 1988 The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and Shiller (1987) to examine the informational content of three sets of ex ante forecasts: the American Statistical Association and National Bureau of Economic Research Survey (ASA). Data Resources Incorporated (DRI), and Wharton Economic Forecasting Associates (WEFA). We compare these forecasts to each other and to "quasi ex ante" forecasts generated from a vector autoregressive model, an autoregressive components model and a large-scale structural model (the Fair model). JEL Classification: 132, 212 Keywords: Forecasts, ex ante forecasts, informational content |
