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The Treasury Forecasting Record: Some New Results

Published online by Cambridge University Press:  26 March 2020

Chris Melliss  and
Rod Whittaker
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Abstract

We examine the forecasting record of HM Treasury for GDP and the RPI from 1971 to the present. As well as presenting the usual statistical measures of performance, such as Root Mean Squared Errors, and regression tests of forecast efficiency and bias, we test for any relationship between the errors in GDP and RPI forecasts. Confidence intervals are constructed using a classical statistical approach based on past forecast errors, which is similar to that employed in this Review to describe forecast uncertainty.

Type
Articles
Information
National Institute Economic Review , Volume 164 , April 1998 , pp. 65 - 79
Copyright
Copyright © 1998 National Institute of Economic and Social Research

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Footnotes

∗

A previous version of this paper was presented at an ESRC conference on Macroeconomic Modelling and Economic Policy, London, 8-9 January 1998. The views expressed, errors and omissions are the sole responsibility of the authors. They are grateful for comments on an earlier version of this paper from Charlie Bean, Andrew Britton, Michael Clements, Andrew Gurney, Chris Kelly, David Maude, and participants at the Conference, especially the discussant, Nigel Pain. © Crown Copyright 1998. Published by permission of Her Majesty's Stationary Office.

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