A Nonparametric Evaluation of the Optimality of German Export and Import Growth Forecasts under Flexible Loss
This study contributes to research on the nonparametric evaluation of German trade forecasts. To this end, I compute random classification and regression forests to analyze the optimality of annual German export and import growth forecasts from 1970 to 2017. A forecast is considered as optimal if a...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-09-01
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| Series: | Economies |
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| Online Access: | https://www.mdpi.com/2227-7099/7/3/93 |
| _version_ | 1818040485587976192 |
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| author | Christoph Behrens |
| author_facet | Christoph Behrens |
| author_sort | Christoph Behrens |
| collection | DOAJ |
| description | This study contributes to research on the nonparametric evaluation of German trade forecasts. To this end, I compute random classification and regression forests to analyze the optimality of annual German export and import growth forecasts from 1970 to 2017. A forecast is considered as optimal if a set of predictors, which models the information set of a forecaster at the time of forecast formation, has no explanatory power for the corresponding (sign of the) forecast error. I analyze trade forecasts of four major German economic research institutes, a collaboration of German economic research institutes, and one international forecaster. For trade forecasts with a horizon of half-a-year, I cannot reject forecast optimality for all but one forecaster. In the case of a forecast horizon of one year, forecast optimality is rejected in more cases if the underlying loss function is assumed to be quadratic. Allowing for a flexible loss function results in more favorable assessment of forecast optimality. |
| first_indexed | 2024-12-10T08:15:17Z |
| format | Article |
| id | doaj.art-da9479c91cd84544b5ddd0a6cbaa9f6c |
| institution | Directory Open Access Journal |
| issn | 2227-7099 |
| language | English |
| last_indexed | 2024-12-10T08:15:17Z |
| publishDate | 2019-09-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Economies |
| spelling | doaj.art-da9479c91cd84544b5ddd0a6cbaa9f6c2022-12-22T01:56:29ZengMDPI AGEconomies2227-70992019-09-01739310.3390/economies7030093economies7030093A Nonparametric Evaluation of the Optimality of German Export and Import Growth Forecasts under Flexible LossChristoph Behrens0Department of Economics, Helmut Schmidt University, Holstenhofweg 85, 22043 Hamburg, GermanyThis study contributes to research on the nonparametric evaluation of German trade forecasts. To this end, I compute random classification and regression forests to analyze the optimality of annual German export and import growth forecasts from 1970 to 2017. A forecast is considered as optimal if a set of predictors, which models the information set of a forecaster at the time of forecast formation, has no explanatory power for the corresponding (sign of the) forecast error. I analyze trade forecasts of four major German economic research institutes, a collaboration of German economic research institutes, and one international forecaster. For trade forecasts with a horizon of half-a-year, I cannot reject forecast optimality for all but one forecaster. In the case of a forecast horizon of one year, forecast optimality is rejected in more cases if the underlying loss function is assumed to be quadratic. Allowing for a flexible loss function results in more favorable assessment of forecast optimality.https://www.mdpi.com/2227-7099/7/3/93trade forecastsGerman economic research institutesforecast optimalityflexible lossrandom forests |
| spellingShingle | Christoph Behrens A Nonparametric Evaluation of the Optimality of German Export and Import Growth Forecasts under Flexible Loss Economies trade forecasts German economic research institutes forecast optimality flexible loss random forests |
| title | A Nonparametric Evaluation of the Optimality of German Export and Import Growth Forecasts under Flexible Loss |
| title_full | A Nonparametric Evaluation of the Optimality of German Export and Import Growth Forecasts under Flexible Loss |
| title_fullStr | A Nonparametric Evaluation of the Optimality of German Export and Import Growth Forecasts under Flexible Loss |
| title_full_unstemmed | A Nonparametric Evaluation of the Optimality of German Export and Import Growth Forecasts under Flexible Loss |
| title_short | A Nonparametric Evaluation of the Optimality of German Export and Import Growth Forecasts under Flexible Loss |
| title_sort | nonparametric evaluation of the optimality of german export and import growth forecasts under flexible loss |
| topic | trade forecasts German economic research institutes forecast optimality flexible loss random forests |
| url | https://www.mdpi.com/2227-7099/7/3/93 |
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