| Titre | Une comparaison des prévisions des experts à celles issues des modèles B VAR | |
|---|---|---|
| Auteur | Auguste Mpacko Priso, Sandrine Lardic | |
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Revue | Economie et prévision |
| Numéro | no 140-141, 1999/4-5 Economie des marché financiers | |
| Rubrique / Thématique | Économie des marchés financiers |
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| Page | 161-180 | |
| Résumé anglais |
A Comparison of Expert Forecasts with BVAR Model Forecasts by Sandrine Lardic and Auguste Mpacko-Priso
This paper checks whether economic and financial experts forecast macroeconomic and financial variables «better» than alternative techniques and in particular the Bayesian method. The BVAR methodology, presented in detail in Lardic and Mpacko-Priso (1996) and summarised in this paper, is used to generate six-month and twelve-month forecasts of the Consumer Price Index, Industrial Production Index, Standard and Poors 425, and Standard and Poors 500 for two samples. These forecasts are then compared with economic and financial expert predictions as well as with forecasts derived from traditional techniques for the same periods of time. Statistical and economic criteria are used to gauge the different forecasts. We show that the BVAR forecasts are generally better than the individual expert forecasts. We conclude that the BVAR methodology merits being used more than it is at present. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1999_num_140_4_5982 |
