Evaluating current-year forecasts made during the year: a Japanese example

Abstract

Forecasts for the current year that are made sometime during the current year are not true annual forecasts because they include already known information for the early part of the year. The current methodology that evaluates these ‘forecasts’ does not take into account the known information. This article presents a methodology for calculating an implicit forecast for the latter part of a year conditional on the known information. We then apply the procedure to Japanese forecasts for 1988–2003 and analyse some of the characteristics of those predictions.

Notes

¹A fiscal year t is the period from April of year t to March of year t + 1.

²The Japanese data that are used here are not seasonally adjusted, are the actual levels of GDP in each quarter and are not in annual rate.

³We would like to thank Professor Ashiya for providing the database used in this analysis.

⁴The test statistic was 1.6769 with a p-value of 0.11.