Evaluating forecasts, narratives and policy using a test of invariance
Economic policy agencies produce forecasts with accompanying narratives, and base policy changes on the resulting anticipated developments in the target variables. Systematic forecast failure, defined as large, persistent deviations of the outturns from the numerical forecasts, can make the associat...
| 主要な著者: | , , |
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| フォーマット: | Journal article |
| 出版事項: |
MDPI
2017
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| _version_ | 1826274758884327424 |
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| author | Castle, J Hendry, D Martinez, A |
| author_facet | Castle, J Hendry, D Martinez, A |
| author_sort | Castle, J |
| collection | OXFORD |
| description | Economic policy agencies produce forecasts with accompanying narratives, and base policy changes on the resulting anticipated developments in the target variables. Systematic forecast failure, defined as large, persistent deviations of the outturns from the numerical forecasts, can make the associated narrative false, which would in turn question the validity of the entailed policy implementation. We establish when systematic forecast failure entails failure of the accompanying narrative, which we call forediction failure, and when that in turn implies policy invalidity. Most policy regime changes involve location shifts, which can induce forediction failure unless the policy variable is super exogenous in the policy model. We propose a step-indicator saturation test to check in advance for invariance to policy changes. Systematic forecast failure, or a lack of invariance, previously justified by narratives reveals such stories to be economic fiction. |
| first_indexed | 2024-03-06T22:48:19Z |
| format | Journal article |
| id | oxford-uuid:5df2ded2-0c0f-4d69-97df-f04a9b7684a0 |
| institution | University of Oxford |
| last_indexed | 2024-03-06T22:48:19Z |
| publishDate | 2017 |
| publisher | MDPI |
| record_format | dspace |
| spelling | oxford-uuid:5df2ded2-0c0f-4d69-97df-f04a9b7684a02022-03-26T17:37:27ZEvaluating forecasts, narratives and policy using a test of invarianceJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:5df2ded2-0c0f-4d69-97df-f04a9b7684a0Symplectic Elements at OxfordMDPI2017Castle, JHendry, DMartinez, AEconomic policy agencies produce forecasts with accompanying narratives, and base policy changes on the resulting anticipated developments in the target variables. Systematic forecast failure, defined as large, persistent deviations of the outturns from the numerical forecasts, can make the associated narrative false, which would in turn question the validity of the entailed policy implementation. We establish when systematic forecast failure entails failure of the accompanying narrative, which we call forediction failure, and when that in turn implies policy invalidity. Most policy regime changes involve location shifts, which can induce forediction failure unless the policy variable is super exogenous in the policy model. We propose a step-indicator saturation test to check in advance for invariance to policy changes. Systematic forecast failure, or a lack of invariance, previously justified by narratives reveals such stories to be economic fiction. |
| spellingShingle | Castle, J Hendry, D Martinez, A Evaluating forecasts, narratives and policy using a test of invariance |
| title | Evaluating forecasts, narratives and policy using a test of invariance |
| title_full | Evaluating forecasts, narratives and policy using a test of invariance |
| title_fullStr | Evaluating forecasts, narratives and policy using a test of invariance |
| title_full_unstemmed | Evaluating forecasts, narratives and policy using a test of invariance |
| title_short | Evaluating forecasts, narratives and policy using a test of invariance |
| title_sort | evaluating forecasts narratives and policy using a test of invariance |
| work_keys_str_mv | AT castlej evaluatingforecastsnarrativesandpolicyusingatestofinvariance AT hendryd evaluatingforecastsnarrativesandpolicyusingatestofinvariance AT martineza evaluatingforecastsnarrativesandpolicyusingatestofinvariance |