Forecasting Imports with Information from Abroad

Grimme, Christian; Lehmann, Robert; Noeller, Marvin

doi:10.2139/ssrn.3214400

SSRN Journal

2018

DOI: 10.2139/ssrn.3214400

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Forecasting Imports with Information from Abroad

Christian Grimme

Robert Lehmann

Marvin Noeller

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2020

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Evaluating the joint efficiency of German trade forecasts - a nonparametric multivariate approach

Behrens

2020

Applied Economics

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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.

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Evaluating the joint efficiency of German trade forecasts - a nonparametric multivariate approach

Behrens

2020

Applied Economics

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Forecasting Imports with Information from Abroad

Cited by 1 publication

References 17 publications

Evaluating the joint efficiency of German trade forecasts - a nonparametric multivariate approach

Evaluating the joint efficiency of German trade forecasts - a nonparametric multivariate approach

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