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Overfitting in Judgment-Based Economic Forecasts

Author: Klaus-Peter Hellwig
Publisher: Washington, D.C. : International Monetary Fund, 2018.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Hellwig, Klaus-Peter.
Overfitting in Judgment-Based Economic Forecasts: the Case of IMF Growth Projections.
Washington, D.C. : International Monetary Fund, ©2018
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Klaus-Peter Hellwig
ISBN: 9781484389638 1484389638
OCLC Number: 1082217247
Notes: Table 9: LASSO estimates for predicting cumulative real GDP growth rates and WEO growth forecasts: emerging market economies
Description: 1 online resource (44 pages)
Contents: Cover; Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections; Abstract; 1 Introduction; 2 Overfitting and the bias-variance trade-off; 3 Optimal shrinkage for WEO forecasts; 4 Benchmarking forecast accuracy; 5 Predictors and noise; 6 Are IMF forecasts robust predictors of growth?; 7 Conclusion; References; Appendix; A: Performance of Null model and WEO forecasts over time; B: The LASSO estimator; C: Detailed results for Section 5; D: Additional results for Sections 4 and 6: cumulative growth rates; Figure Figure 1: Average information content of IMF real GDP growth forecast revisionsFigure 2: Overfitting: out-of-sample performance in an artificial linear example; Figure 3: Shrinkage coe cients in an artificial linear example; Figure 4: Optimal shrinkage coe cients for real GDP growth projections, by forecast horizon; Figure 5: Optimal shrinkage coe cients for cumulative real GDP growth projections, by forecast horizon; Figure 6: Comparison of WEO forecast performance with and without Copas (1983) transformation (out of sample) Figure 7: Standard deviation of WEO annual real GDP growth forecasts, by income groupFigure 8: Mean squared error for Spring WEO projections and Null model forecasts; Figure 9: Comparison of WEO and model-based forecast performance; Figure 10; Figure 11: Selection probabilities and regression coe cients for WEO forecasts as predictors of growth; Figure 12: MSE for Spring WEO projections and Null model forecasts for annual real GDP growth; Figure 13; Figure 14: MSE for Spring WEO projections and Null model forecasts, by income group Figure 15: Selection probabilities and regression coe cients for WEO forecasts as predictors of cumulative growthTable; Table 1: Diebold-Mariano tests for squared errors: WEO vs. Null model, by forecast horizon and income group; Table 2: Diebold-Mariano tests for squared errors: WEO vs. LASSO model, by forecast horizon and income group; Table 3: LASSO coe cients (selected variables) for predicting cumulative real GDP growth rates and WEO growth forecasts: all countries; Table 4: LASSO estimates for predicting cumulative real GDP growth rates and WEO growth forecasts: advanced economies Table 5: LASSO estimates for predicting cumulative real GDP growth rates and WEO growth forecasts: emerging market economiesTable 6: LASSO estimates for predicting cumulative real GDP growth rates and WEO growth forecasts: low income countries; Table 7: LASSO estimates for predicting cumulative real GDP growth rates and WEO growth forecasts: all countries; Table 8: LASSO estimates for predicting cumulative real GDP growth rates and WEO growth forecasts: advanced economies

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