Forecasting with vector autoregressive models of data vintages: US output growth and inflation

Vintage-based vector autoregressive models of a single macroeconomic variable are shown to be a useful vehicle for obtaining forecasts of different maturities of future and past observations, including estimates of post-revision values. The forecasting performance of models which include information on annual revisions is superior to that of models which only include the first two data releases. However, the empirical results indicate that a model which reflects the seasonal nature of data releases more closely does not offer much improvement over an unrestricted vintage-based model which includes three rounds of annual revisions.

Real-time forecasting of inflation and output growth with autoregressive models in the presence of data revisions

We examine how the accuracy of real-time forecasts from models that include autoregressive terms can be improved by estimating the models on ‘lightly revised’ data instead of using data from the latest-available vintage. The benefits of estimating autoregressive models on lightly revised data are related to the nature of the data revision process and the underlying process for the true values. Empirically, we find improvements in root mean square forecasting error of 2–4% when forecasting output growth and inflation with univariate models, and of 8% with multivariate models. We show that multiple-vintage models, which explicitly model data revisions, require large estimation samples to deliver competitive forecasts. Copyright © 2012 John Wiley & Sons, Ltd.

Probability distributions or point predictions? Survey forecasts of US output growth and inflation

We consider whether survey respondents’ probability distributions, reported as histograms, provide reliable and coherent point predictions, when viewed through the lens of a Bayesian learning model. We argue that a role remains for eliciting directly-reported point predictions in surveys of professional forecasters.

Forecast uncertainty—ex Ante and ex Post: U.S. inflation and output growth

Survey respondents who make point predictions and histogram forecasts of macro-variables reveal both how uncertain they believe the future to be, ex ante, as well as their ex post performance. Macroeconomic forecasters tend to be overconfident at horizons of a year or more, but overestimate (i.e., are underconfident regarding) the uncertainty surrounding their predictions at short horizons. Ex ante uncertainty remains at a high level compared to the ex post measure as the forecast horizon shortens. There is little evidence of a link between individuals’ ex post forecast accuracy and their ex ante subjective assessments.

Output sustainability to exogenous and endogenous shocks: evidence from emerging economies

This paper studies the impact of exogenous and endogenous shocks (exogenous shock is used interchangeably with external shock; endogenous shock is used interchangeably with domestic shock) on output fluctuations in post-communist countries during the 2000s. The first part presents the analytical framework and formulates a research hypothesis. The second part presents vector autoregressive estimation and analysis model proposed by Pesaran (2004) and Pesaran and Smith (2006) that relates bank real lending, the cyclical component of output and spreads and accounts for cross-sectional dependence (CD) across the countries. Impulse response functions show that exogenous positive shock lead to a drop in output sustainability for 9 over 12 Central Eastern European countries and Russia, when the endogenous shock is mild and ambiguous. Moreover, the effect of exogenous shock is more significant during the crises. Variance decompositions show that exogenous shock in the aftermath of crisis had a substantial impact on economic activity of emerging economies.

Long-run restrictions and survey forecasts of output, consumption and investment

We consider the extent to which long-horizon survey forecasts of consumption, investment and output growth are consistent with theory-based steady-state values, and whether imposing these restrictions on long-horizon forecasts will enhance their accuracy. The restrictions we impose are consistent with a two-sector model in which the variables grow at different rates in steady state. The restrictions are imposed by exponential-tilting of simple auxiliary forecast densities. We show that imposing the consumption-output restriction yields modest improvements in the long-horizon output growth forecasts, and larger improvements in the forecasts of the cointegrating combination of consumption and output: the transformation of the data on which accuracy is assessed plays an important role.

Finality revived: powers and intentionality

Proponents of physical intentionality argue that the classic hallmarks of intentionality highlighted by Brentano are also found in purely physical powers. Critics worry that this idea is metaphysically obscure at best, and at worst leads to panpsychism or animism. I examine the debate in detail, finding both confusion and illumination in the physical intentionalist thesis. Analysing a number of the canonical features of intentionality, I show that they all point to one overarching phenomenon of which both the mental and the physical are kinds, namely finality. This is the finality of ‘final causes’, the long-discarded idea of universal action for an end to which recent proponents of physical intentionality are in fact pointing whether or not they realise it. I explain finality in terms of the concept of specific indifference, arguing that in the case of the mental, specific indifference is realised by the process of abstraction, which has no correlate in the case of physical powers. This analysis, I conclude, reveals both the strength and weakness of rational creatures such as us, as well as demystifying (albeit only partly) the way in which powers work.

Scientific output trends in oral health in Brazil

Objective. To describe dental research trends in Brazil (especially population-based oral health) in the early Twenty-first Century. Methods. The abstracts of studies presented at meetings of the Brazilian Society for Dental Medicine Research (Sociedade Brasileira de Pesquisa Odontologica) from 2001-2006 were assessed in terms of methodological design (aggregate or population-based and individual-based studies, observational and intervention studies, cross-sectional and longitudinal studies); general type (literature review, studies with human subjects, and laboratory studies); and classification into one of the 19 specialty categories recognized by the Brazilian Federal Dentistry Council. Of the 10 406 abstracts presented in this period, 5 203 (50%) were reviewed. Results. Concerning methodological design, 87.5% of the abstracts referred to individual-based studies, whereas 12.5% were of aggregate studies. Concerning the general category, 41.7% referred to studies with human subjects. The remaining abstracts (58.3%) described in vitro (31.1%) or in vivo (23.6%) laboratory research and literature reviews (3.6%). Concerning the Council`s specialty categories, only five had a frequency higher than 10.0%: esthetic dentistry, periodontics, endodontics, pediatric dentistry, and population-based oral health. Conclusions. Brazil`s scientific output in the field of oral health for the period 2001-2006 was balanced, with increasing interest in the area of population-based oral health.