This paper analyzes forecasts, for ten key annually observed economic variables for the Netherlands, created by the Netherlands Bureau for Economic Policy Analysis (CPB) for 1971–2007. These CPB forecasts are all manually modified model forecasts, where the model is a (very) large multi-equation macro model. The CPB forecasts are held against real-time forecasts obtained from simple autoregressive time series models, and for seven of the ten cases, CPB’s forecasts are significantly more accurate. Combining CPB’s forecasts with the real time autoregressive forecasts shows that four of the ten combined forecasts are significantly better than CPB’s forecasts, and seven of the ten are better than the time series forecasts. This suggests that CPB’s manual adjustment efforts could perhaps be directed to modifying simple model forecasts and not the forecasts from the own large macro model.

Additional Metadata
Keywords Macro-economic forecasting, Forecast accuracy, Forecast evaluation
JEL Forecasting and Simulation (jel E27)
Persistent URL dx.doi.org/10.1007/s10645-014-9230-z, hdl.handle.net/1765/76080
Series Econometric Institute Reprint Series , ERIM Top-Core Articles
Journal De Economist
Franses, Ph.H.B.F. (2014). Evaluating CPB’s Forecasts. De Economist, 162(3), 215–221. doi:10.1007/s10645-014-9230-z