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The Research Program on Forecasting
supports research, teaching, and dissertation supervision in forecasting as
part of the Department of Economics and the Center for Economic Research at
The George Washington University. The current research interests of program
members include a wide range of studies on the methodology of forecasting
and forecast evaluation as well as preparation of macroeconomic and
microeconomic forecasts. In addition, program members have supervised
dissertations that focus on the theory and application of forecasting.
This
year we also sponsor the 2009-2010 University Seminar on Forecasting.
Please
watch this site for upcoming events, and email Tara Sinclair
(tsinc@gwu.edu), if you are interested in participating in this seminar.
Except
for special cases, our seminars will be held on Thursdays from 12:30pm to
2:00pm.
Brown Bag and University
Seminar Series on Forecasting
(joint with the Federal Forecasters Consortium)
Upcoming
Presentations
"Perspectives
on Forecast Evaluation"
Herman
Stekler, The George Washington
University
·
Thursday, March 4, 2010, 12:30 – 2:00 pm
John W. Kendrick Seminar Room
Room 321
2115 G Street
Washington, DC 20052
“The
Role of Inventories and Speculative Trading in the Global Market for Crude
Oil”
Lutz Kilian,
University of
Michigan
·
Wednesday, April 21, 2:30 – 4:00 p.m.
Note Special Day and Time!
(Joint with our Macro-International Seminar)
John W. Kendrick Seminar Room
Room 321
2115 G Street
Washington, DC 20052
Past Presentations and Events
"Do Higher
Wind Power Penetration Levels Pose a Challenge to Electric Power Security? :
Evidence from the Forecasting Wind Generation in the ERCOT Power Grid in
Texas"
Kevin Forbes, The Catholic
University of America
Thursday,
January 21, 2010
"Forecasting Turning
Points: Consensus and Disagreement"
Prakash Loungani,
International Monetary Fund, work with Natalia Tamirisa
and Herman Stekler
·
November 17, 2009
·
Please use the following link
to see the paper: How Well Are Recessions and
Recoveries Forecast?
"Unplanned
Inventories and the Decline in GDP Volatility"
James Morley, Washington University
in St. Louis
·
November 3, 2009
·
Please use the following link
to see the paper: "Unplanned Inventories and the Decline in GDP
Volatility"
"Real-time VAR Forecasting with a Judgmental
Democratic Prior"
Jonathan Wright, Johns
Hopkins University
·
October 29, 2009
"How Strong a Recovery for the World in 2010"
John Walker, Chairman, Oxford Economics
·
October 27, 2009
“Forecast
evaluation of small nested model sets”
Kirstin Hubrich,
European Central Bank and the Federal Reserve, work completed jointly with
Ken West
·
October, 13, 2009
·
Please use the following link
to see the paper: "Forecast evaluation of small nested model sets"
17th
Federal Forecasters Conference
·
September 24, 2009
·
Please use the following link
for additional information about the conference: 17th Federal Forecasters Conference
"Consensus
Forecasts and Inefficient Information Aggregation"
Chris Crowe, International Monetary Fund
·
September 22, 2009
·
Please use the following link
to see the paper: "Consensus Forecasts and Inefficient Information
Aggregation"
SGE
Annual Conference
·
September 21, 2009
·
Please use the following link
to the conference website: SGE Annual Conference
“Introducing the Euro-STING: Short-Term Indicator
of Euro Area Growth”
Gabriel Perez-Quiros, Bank of Spain
·
September 16, 2009
·
Please use the following link
to see the paper: “Introducing the
Euro-STING: Short-Term INdicator of Euro Area
Growth”
·
This seminar was conducted
jointly with the George Washington University Macro-International Seminar.
“Forecasting
and Empirical Model Selection”
Neil
Ericsson,
Federal Reserve Board
·
September 8, 2009
·
Please use the following link
to see the paper: "Forecasting and
Empirical Model Selection"
·
Please use the following links
to see relevant papers:
Comment on “Economic Forecasting in a Changing
World”
Constructive Data Mining: Modeling Australian
Inflation
“Measuring
U.S.
International Relative Prices: A WARP View of the World”
Jaime
Marquez, Division of International Finance, Federal
Reserve Board
·
May 12, 2009
·
Please use the following link
to see the paper: Measuring
U.S. International Relative Prices: A WARP View of the World
“Measuring
Forecast Uncertainty by Disagreement: The Missing Link”
Kajal Lahiri
·
April 14, 2009
·
Please use the following link
to see the paper: Measuring
Forecast Uncertainty by Disagreement: The Missing Link
“Rethinking our Approach to Time Series Analysis”
Ralph
Snyder, Department of Econometrics and Business
Statistics, Monash
University, Australia
·
March 13, 2009
·
Special Forecasting Seminar
·
Please use the following link
to see the seminar handout: Handout
“Coupled
Economies, Decoupled Forecasters?”
Prakash Loungani, International Monetary
Fund
·
February 21, 2009
·
Please use the following link
to see the paper:"Coupled Economies, Decoupled
Forecasters?"
“Integrating
Judgmental and Quantitative Forecasts”
Stephen MacDonald, Senior Economist, Economic Research Service, USDA
·
January 17, 2009
·
Please use the following link
to see the paper:"Integrating Judgemental
and Quantitative Forecasts"
“Has
the Fed’s Forecasting Advantage Eroded?”
Julie Smith, Lafayette
College
·
November 8, 2007 Please
use the following link to see the paper:"Has the Fed's Forecasting
Advantage Eroded?" co-authored with Ed Gamber
"Jointly
Evaluating the Federal Reserve’s Quantitative Forecasts of Real GDP Growth
and Inflation"
Tara Sinclair, Department of Economics, George Washington
University
·
October 18, 2007
·
The corresponding paper was
co-authored with Herman Stekler and Elizabeth
Reid.
“A
Framework for Decomposing Shocks and Measuring Volatilities Derived from
Multi-Dimensional Panel Data of Survey Forecasts”
Antony
Davies
·
August 7, 2007
·
Please use the following link
to see the paper: "A Framework for Decomposing Shocks and Measuring
Volatilities Derived from Multi-Dimensional Panel Data of Survey
Forecasts"
“Cellulosic
Ethanol: Effects on the Future U.S. Economy of Successful
Commercialization”
Stefan Osborne
·
June 19, 2007
·
Please use the following link
to see the paper: "Cellulosic Ethanol: Effects on the
Future U.S. Economy of Successful Commercialization"
“A
Survey of Results from Sports Forecasts”
Herman Stekler, Department of Economics, George Washington University
·
April 17, 2007
·
Please use the following link
to see the paper: "A Survey of Results from Sports Forecasts", updated
August 8, 2007
·
This seminar was conducted
jointly with the George Washington University Microeconomics Seminar
“Forecasting
Interments and Gravesites in National Cemeteries, the New Model”
Kathleen Sorensen
·
March 20, 2007
“Evaluating BLS Labor Force, Employment and
Occupation Projections for 2000”
Herman Stekler, Department of Economics, George Washington University
·
February 20, 2007
·
Please use the following link
to see the paper: "Evaluating BLS Labor Force,
Employment, and Occupation Projections for 2000"
co-authored with Rupin Thomas.
“Directional
Forecasts of GDP and Inflation: A Joint Evaluation with an Application to
Federal Reserve Predictions”
Tara M. Sinclair, Department of Economics, George Washington
University, work completed jointly with H. O. Stekler
and Linsay Kitzinger
·
January 9, 2007
·
Please use the following link
to see the paper: “Directional Forecasts of GDP and Inflation: A Joint Evaluation
with and Application to Federal Reserve Predictions”
·
Please use the following link
to see the presentation slides: presentation slides
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Current Activities
The faculty is composed entirely of active scholars. They have published
in some of the top general interest journals as well as leading journals in
forecasting, including the American
Economic Review, Journal
of the American Statistical Association, Journal
of Business and Economic Statistics, Economic
Inquiry, Journal
of Money Credit and Banking, International Journal of Forecasting,
Applied
Economics, Journal of Applied
Econometrics, and Energy Economics
Their work also appears in leading journals in related
fields and disciplines, (such as macroeconomics and demography), and they
regularly present their work at national and international forecasting
conferences.
Ord and Stekler are
members of the editorial board of the International Journal of
Forecasting. Stekler and Ord are both former Directors of the International Institute of
Forecasters and are Fellows of the Institute. Ord is also a Fellow of the American Statistical
Association.
The Survey of
Professional Forecasters conducted by the Federal Reserve Bank of Philadelphia has
included the Benchmark Forecasts produced by Joutz since 1990. He has been
producing the forecasts of about 25 macroeconomic series since 1988. The
survey is done every quarter and includes about 35 forecasters from
business, finance, and aceademe. Previously, the
survey was conducted under the auspices of the ASA and National Bureau of
Economic Research. Tara Sinclair also contributes to the survey on
behalf of the Research Program on Forecasting.
Previously funded research projects include a three year project on
short-run and long-run responses of electricity consumption to climate
change and variability for the U.S. Environmental Protection Agency. The
project was performed in collaboration with scientists at the Johns Hopkins
Schools of Engineering and Public Health Other funds have come from the
National Park Service.
The RPF also has a partnership with Federal Forecasters Consortium,
an organization of federal employees from all government agencies involved
in forecasting. The two groups jointly organize a monthly Brown Bag Seminar
Series on Forecasting.
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Research
Specific projects underway or recently completed by program members
include:
Recent Expert Testimony
- Fred Joutz testified
in a hearing held by the Joint Economic Committee (JEC) to examine the
state of the global energy markets and the impact of sustained high
oil prices on the U.S.
economy.
- November 24, 2008:
Tara Sinclair was
interviewed by Fox 5 morning news about the economic outlook.
- November 13, 2008:
Tara Sinclair was
interviewed by Fox 5 morning news about the modifications to the
bailout plan.
- October 22,
2008: Tara Sinclair was
interviewed by Medill Reports about the different presidential
candidates' tax policies.
- Herman Stekler discusses with Boomberg Radio how today's stock market activity
relates to the situation during the Great Depression.
- Prakash Loungani provides
an analysis of developments in global housing markets.
- September 29,
2008: Fred Joutz and Tara Sinclair were interviewed
by Fox 5 news on the economics content of Barak Obama's speech at the
Democratic National Convention.
- July 23, 2009: A
Business Standard article highlighted
research by Tara Sinclair, Fred Joutz, and Herman Stekler
in RPF Working
Paper No. 2009-001.
- April 6, 2009: A
Bloomberg article discussed
a working paper by Tara Sinclair.
- August 17, 2008: The work presented by
Prakash Loungani in our February brownbag
was mentioned
in the New York Times Magazine in an article about Nouriel
Roubini:
"Recessions are signal events in any modern economy. And yet
remarkably, the profession of economics is quite bad at predicting
them. A recent study looked at "consensus forecasts" (the
predictions of large groups of economists) that were made in advance
of 60 different national recessions that hit around the world in the
'90s: in 97 percent of the cases, the study found, the economists
failed to predict the coming contraction a year in advance. On those
rare occasions when economists did successfully predict recessions,
they significantly underestimated the severity of the downturns.
Worse, many of the economists failed to anticipate recessions that
occurred as soon as two months later."
"He sounded like a madman in 2006," recalls the I.M.F.
economist Prakash Loungani, who invited [Nouriel] Roubini [to the
IMF] on both occasions.
"He was a prophet when he returned in 2007."
- Prakash Loungani blogs on the excessive smoothness of
forecasts for RGE
Monitor:
"Think about it this way: what use is a
weather forecaster who never calls for rain until both you and he can look
out of the window and see that it is indeed raining? A weather forecaster
is doing his job if he does call, every now and then, for rain ahead of
time, even at the risk of being wrong and annoying his clients for making
them carry an umbrella around or rescheduling outdoor tennis matches when they
didn’t have to. A weather forecast that bounces around can be
annoying but it may also be a sign of the forecaster taking his job
seriously."
Summary: Will the U.S. economy go into a
recession? Will other countries “decouple” from the United States? To those turning
to private sector economic forecasters for guidance on these questions,
this article sounds a note of caution: the past performance of forecasters
on these two questions leaves much to be desired. Few recessions have
been forecast ahead of their arrival. Nor do forecasters take into
account fully the dependence of economies on one another; we present
evidence that the dependence on the U.S. economy of the other
members of the G7 has been under-appreciated by forecasters in the past. In
short, economies are coupled, but one country’s forecasters often
seem to be decoupled from those in other countries.
- Federal Reserve
Board forecasts of macroeconomic conditions
- Expert, computer model,
and betting line forecasts of NFL games
- Interest rate
spreads as predictors of business cycles
- U.S. Census Bureau
projections of state populations
- The role of
asymmetric, non-linear models in forecasting
Preparation of forecasts of:
- U.S. macroeconomic
conditions
- Electricity
consumption and prices
- Motor gasoline
demand
- Municipal solid
waste generation
- Effects of
technical change on productivity in public enterprises
- Patent
applications
- Leading series of
the transportation sector
- National defense
readiness measures
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Members
Frederick
L. Joutz, Professor of Economics, Program Director, and member of the
Federal Forecasters Consortium Governing Board.
Tara M. Sinclair, Assistant
Professor of Economics and International Affairs, Program Co-Director, and
member of the Federal Forecasters Consortium Governing Board.
Bryan L. Boulier, Professor of Economics
Michael D. Bradley,
Professor of Economics
Antony Davies, Associate
Professor of Economics, Duquesne University
Neil
R. Ericsson, Chief, Research and Information Systems Section, Division
of International Finance, Federal Reserve Board
Edward N. Gamber,
Professor of Economics, Lafayette College, and former Macroeconomic
Forecaster of the Congressional Budget Office
Prakash Loungani, Advisor in the Research Department of the
IMF (International Monetary Fund)
Michael
W. McCracken, Research Officer, Federal Reserve Bank of St. Louis
Robert Phillips,
Professor of Economics, Chair
J.
Keith Ord, Professor, McDonough School of
Business, Georgetown
University, Fellow of International Institute of Forecasting, Fellow
of
American Statistical Association
Refik Soyer, Professor of Management Science
Julie K. Smith, Assistant
Professor of Economics, Lafayette College
H.O. Stekler, Research Professor of Economics and Fellow
of International Institute of Forecasting
Peter Tinsley,
Professor of Economics, Birkbeck College,
University of London
Robert Trost, Professor of Economics
Anthony M. Yezer, Professor of Economics
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Contact Information
Fred Joutz or Tara M. Sinclair
Department of Economics
Monroe/Hall of Goverment Suite 340
2115 G Street NW
Washington, DC 20052
Joutz: (202) 994-4899
email: bmark@gwu.edu
Sinclair: (202) 994-7988
email: tsinc@gwu.edu
fax: (202) 994-6147
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Forecasting Links
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Working
Papers
2009
No. 2009-004: “Transparency, Performance, and
Agency Budgets: A Rational Expectations Modeling Approach” Rosen Valchev and Antony
Davies
No. 2009-003: “Evaluating National
Football League Draft Choices: The Passing Game” Bryan L. Boulier, H.O. Stekler, Jason
Coburn, and Timothy Rankins (Forthcoming in the
special issue on Sports Economics of the International Journal of
Forecasting)
No. 2009-002: “Issues In Sports
Forecasting” H. O. Stekler, David Sendor, And Richard Verlander
(Forthcoming in the special issue on Sports Economics of the International
Journal of Forecasting)
No. 2009-001: “Can the Fed Predict the
State of the Economy?” Tara M. Sinclair, Fred Joutz, and Herman
O. Stekler. Note: This is a substantially
revised version of RPF Working Paper No. 2008-010.
·
This paper was listed on SSRN's Top Ten download list for ERN: Forecasting &
Simulation in the topics of employment, monetary, and prices.
2008
No. 2008-011: “Bootstrap
Tests of Stationarity” James Morley and Tara M. Sinclair.
No. 2008-010: “Are 'unbiased'
forecasts really unbiased? Another look at the Fed forecasts”
Tara M. Sinclair, Fred Joutz, and Herman O. Stekler.
No. 2008-009: “What Do We Know About G-7 Macro
Forecasts?” Herman O. Stekler.
No. 2008-008: “Exhaustive Regression: An Exploration of
Regression-Based Data Mining Techniques Using Super Computation”
Antony
Davies.
No. 2008-007: “Evaluating
Census Forecasts” Herman O. Stekler.
No. 2008-006: “Measuring
Consensus in Binary Forecasts: NFL Game Predictions” ChiUng Song, Bryan L. Boulier,
and Herman O. Stekler.
No. 2008-005: “Evaluating
Current Year Forecasts Made During the Year:
A Japanese Example” H.O. Stekler and Kazuta Sakamoto.
No. 2008-004: “Monitoring
Processes with Changing Variances” J. Keith Ord
No. 2008-003: “Exponential
Smoothing and Non-Negative Data” Muhammad Akram,
Rob J Hyndman, and J. Keith Ord.
Updated: 8/8/08 No. 2008-002: “Multivariate Forecast
Errors and the Taylor Rule” Edward N. Gamber,
Tara M. Sinclair, H.O. Stekler and Elizabeth
Reid.
Updated: 3/20/2009 No. 2008-001: “Forecast Errors Before and
After the Great Moderation” Edward N. Gamber,
Julie K. Smith, and Matthew Weiss.
2007
Updated: 8/6/2008: No. 2007-002: “Are the Fed’s Inflation Forecasts
Still Superior to the Private Sector’s?”
Edward N. Gamber and Julie K. Smith. Note:
A revised version of this paper is now forthcoming in the Journal of
Macroeconomics
No. 2007-001: “Sports
Forecasting” Herman O. Stekler.
2006
No. 2006-001: “An
Evaluation of the Forecasts of the Federal Reserve: A Pooled
Approach” Michael P. Clements, Fred Joutz, and Herman O. Stekler. Note: A revised version of this
paper is now published in the Journal of Applied Econometrics 22(1),
121-136.
No. 2006-002 updated 11/14/06: “Directional Forecasts of GDP
and Inflation: A Joint Evaluation With an Application to Federal Reserve
Predictions” Tara M. Sinclair, H.O. Stekler,
and Lindsay Kitzinger. Note: A
revised version of this paper is now forthcoming in Applied Economics.
Revised: February 9, 2010
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