Anmerkungen:
"Forthcoming in the International Journal of Forecasting as the articles "How Biased Are U.S. Government Forecasts of the Federal Debt?" (Sections 1-7 below) and "Interpreting Estimates of Forecast Bias" (Appendix A below). Appendix B below lists the data and forecasts analyzed. An earlier version of this paper was titled "Detecting and Quantifying Biases in Government Forecasts of the U.S. Gross Federal Debt"." - Aus der Publikation
Beschreibung:
Government debt and forecasts thereof attracted considerable attention during the recent financial crisis. The current paper analyzes potential biases in different U.S. government agencies' one-year-ahead forecasts of U.S. gross federal debt over 1984-2012. Standard tests typically fail to detect biases in these forecasts. However, impulse indicator saturation (IIS) detects economically large and highly significant time-varying biases, particularly at turning points in the business cycle. These biases do not appear to be politically related. IIS defines a generic procedure for examining forecast properties; it explains why standard tests fail to detect bias; and it provides a mechanism for potentially improving forecasts