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- W1504012364 abstract "We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of expectations with respect to the actual series. We also examine whether forecasts respond to error correction terms. Tests are applied to both final and preliminary versions of the data. We find that the Treasury bill rate, housing starts, industrial production, inflation and their forecasts are trend stationary. The corporate bond rate, GNP, the GNP deflator, unemployment and their forecasts are difference stationary. About half of the these pairs are cointegrated, with the unitary elasticity restriction seldom rejected. Similar results are obtained when using the originally-reported data." @default.
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- W1504012364 date "1999-02-01" @default.
- W1504012364 modified "2023-09-28" @default.
- W1504012364 title "Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys" @default.
- W1504012364 doi "https://doi.org/10.3386/w6926" @default.
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