The accuracy of IMF and OECD forecasts for G7 countries

Abstract

This paper analyses the size and nature of the errors in GDP forecasts in the G7 countries from 1971 to 1995. These GDP short-term forecasts are produced by the Organization for Economic Cooperation and Development and by the International Monetary Fund, and published twice a year in the Economic Outlook and in the World Economic Outlook, respectively. The evaluation of the accuracy of the forecasts is based on the properties of the difference between the realization and the forecast. A forecast is considered to be accurate if it is unbiased and efficient. A forecast is unbiased if its average deviation from the outcome is zero, and it is efficient if it reflects all the information that is available at the time the forecast is made. Finally, we also examine tests of directional accuracy and offer a non-parametric method of assessment. Copyright © 2000 John Wiley & Sons, Ltd.