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Comparative Performance of U.S. Econometric Models$
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Lawrence R. Klein

Print publication date: 1991

Print ISBN-13: 9780195057720

Published to Oxford Scholarship Online: October 2011

DOI: 10.1093/acprof:oso/9780195057720.001.0001

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Model Comparisons and Appraisals 1

Model Comparisons and Appraisals 1

(p.316) Chapter 12 Model Comparisons and Appraisals1
Comparative Performance of U.S. Econometric Models

Robert J. Shiller

Oxford University Press

The Model Comparison Seminar has produced some striking findings. The differences in the properties of the major macroeconometric models are much bigger than one might have expected given their emphasized theoretical foundations, or given the similarity of the published economic forecasts. F. Gerard Adams and Lawrence Klein conclude that there is “considerable, one might even say astonishing,” variation in the behavior of models “largely intended for the same purposes.” Roger Brinner and Alert Hirsch refer to these sharp differences as “disturbing, particularly insofar as models share a common theoretical basis.” Stephen McNees shows that the models themselves agree much less on forecasts than do the forecasters: the forecasts of the exogenous policy variables and the ad hoc adjustments serve to make the different models' forecasts much more similar than they would be if the models alone accounted for the differences in forecasts.

Keywords:   Model Comparison, macroeconometric models, economic forecasts, Roger Brinner, Alert Hirsch, Stephen McNees

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