Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections

Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections
I regress real GDP growth rates on the IMF’s growth forecasts and find that IMF forecasts behave similarly to those generated by overfitted models, placing too much weight on observable predictors and underestimating the forces of mean reversion. I identify several such variables that explain forecasts well but are not predictors of actual... READ MORE...

Publication date: December 2018
ISBN 9781484386187
$18.00

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