Evaluating the Joint Efficiency of German Trade Forecasts. A nonparametric multivariate approach

Arbeitspapier

I analyze the joint efficiency of export and import forecasts by leading economic research institutes for the years 1970 to 2017 for Germany in a multivariate setting. To this end, I compute, in a first step, multivariate random forests in order to model links between forecast errors and a forecaster's information set, consisting of several trade and other macroeconomic predictor variables. I use the Mahalanobis distance as performance criterion and, in a second step, permutation tests to check whether the Mahalanobis distance between the predicted forecast errors for the trade forecasts and actual forecast errors is significantly smaller than under the null hypothesis of forecast efficiency. I find evidence for joint forecast inefficiency for two forecasters, however, for one forecaster I cannot reject joint forecast efficiency. For the other forecasters, joint forecast efficiency depends on the examined forecast horizon. I find evidence that real macroeconomic variables as opposed to trade variables are inefficiently included in the analyzed trade forecasts. Finally, I compile a joint efficiency ranking of the forecasters.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Papers of the Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour" ; No. 9

Classification and Topics

• Classification: Wirtschaft ; Forecasting Models; Simulation Methods ; Trade: Forecasting and Simulation ; Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
• Subject: Trade forecasts ; German economic research institutes ; Forecast efficiency ; Multivariate random forests

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Behrens, Christoph
• Event: Veröffentlichung
• (who): Humboldt University Berlin
• (where): Berlin
• (when): 2019

Further information

• DOI: doi:10.18452/19832
• Handle: http://hdl.handle.net/10419/223190
• URN: urn:nbn:de:kobv:11-110-18452/20630-1
• Last update: 10.03.2025, 11:43 AM CET