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2020-09Diskussionspapier DOI: 10.18452/21910
On the Efficiency of German Growth Forecasts: An Empirical Analysis Using Quantile Random Forests
dc.contributor.authorFoltas, Alexander
dc.contributor.authorPierdzioch, Christian
dc.date.accessioned2020-09-15T10:27:37Z
dc.date.available2020-09-15T10:27:37Z
dc.date.issued2020-09none
dc.identifier.urihttp://edoc.hu-berlin.de/18452/22627
dc.description.abstractWe use quantile random forests (QRF) to study the efficiency of the growth forecasts published by three leading German economic research institutes for the sample period from 1970 to 2017. To this end, we use a large array of predictors, including topics extracted by means of computational-linguistics tools from the business-cycle reports of the institutes, to model the information set of the institutes. We use this array of predictors to estimate the quantiles of the conditional distribution of the forecast errors made by the institutes, and then fit a skewed t-distribution to the estimated quantiles. We use the resulting density forecasts to compute the log probability score of the predicted forecast errors. Based on an extensive insample and out-of-sample analysis, we find evidence, particularly in the case of longer-term forecasts, against the null hypothesis of strongly efficient forecasts. We cannot reject weak efficiency of forecasts.eng
dc.language.isoengnone
dc.publisherHumboldt-Universität zu Berlin
dc.subjectGrowth forecastseng
dc.subjectForecast efficiencyeng
dc.subjectQuantile-random forestseng
dc.subjectDensity forecastseng
dc.subject.ddc330 Wirtschaftnone
dc.titleOn the Efficiency of German Growth Forecasts: An Empirical Analysis Using Quantile Random Forestsnone
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/22627-7
dc.identifier.doihttp://dx.doi.org/10.18452/21910
local.edoc.container-titleWorking Papers of the Priority Programme 1859 – Experience and Expectation. Historical Foundations of Economic Behaviournone
local.edoc.container-creatorAlexander Nützenadel, Jochen Strebnone
local.edoc.pages19none
local.edoc.type-nameDiskussionspapier
local.edoc.institutionPhilosophische Fakultätnone
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume21none
dc.description.versionNot Reviewednone
local.edoc.container-erstkatid2916406-0

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