Working Paper

Algorithms for explaining forecast revisions

Abstract: Forecasts are routinely revised, and these revisions are often the subject of informal analysis and discussion. This paper argues (1) that forecast revisions are analyzed because they help forecasters and forecast users to evaluate forecasts and forecasting procedures, and (2) that these analyses can be sharpened by using the forecasting model to systematically express its forecast revision as the sum of components identified with specific subsets of new information, such as data revisions and forecast errors. An algorithm for this purpose is explained and illustrated.

Bibliographic Information

Provider: Federal Reserve Bank of Minneapolis

Part of Series: Working Papers

Publication Date: 1990

Number: 459