66 M. E. Kreinin
Table 3: OECD Projections of Real GDP Growth Rate–Time Series Naive Model
95 t 2
1 t
Conf. Country
Coef. Stat.
R
2
interv. N
United States Coef.
0.3 1.6
0.0 2
0.1–0.6 34
Constant 2.1
3.2 0.8–3.4
Japan Coef.
0.5 2.9
0.2 0.1–0.8
34 Constant
3.2 2.9
1.0–5.5 Germany
Coef. 0.3
1.9 0.1
2 0.0–0.7
33 Constant
2.0 3.1
0.7–3.3 France
Coef. 0.6
4.5 0.4
0.3–0.9 33
Constant 1.2
2.2 0.1–2.4
United Kingdom Coef.
0.3 1.9
0.1 0.0–0.7
33 Constant
1.5 2.9
0.4–2.6 Canada
Coef. 0.4
2.5 0.1
0.1–0.7 33
Constant 2.3
3.1 0.8–3.9
Italy Coef.
0.3 2.2
0.1 0.0–0.7
33 Constant
2.1 3.1
0.7–3.5 Australia
Coef. 0.3
1.7 0.1
2 0.1–0.6
33 Constant
2.8 4.0
1.4–4.3
statistical properties are rather poor, but they improve consider- ably in the midyear projections. Yet the dual criterion is met
in most cases. In the cross-sectional regressions, with only eight observations, the dual criterion is met in 10 out of 15 years.
These results are superior to forecast by the Naive model shown in Table 5.
Where the OECD and IMF projections do poorly is in forecast- ing the turning points. Table 6 shows poor statistical properties,
and coefficients at variance with expectations. The only possible exception is in the IMF midyear forecast for the downturns and
upturns combined.
3. INFLATION
Projections of the GDP deflator cross-section and time series combined are shown in Table 7. The OECD projections easily
meet the dual criterion, and have desirable statistical properties. The midyear projections are superior to the year-earlier ones.
But the Naive model also appears to give unbiased though less accurate results. Similar observations may be made about the
IMF projections; although, again, a comparison between the two
ACCURACY
OF OECD
AND IMF
P ROJECTION
67
Table 4: IMF Projections of Real GDP Growth Rates–Time Series
95 95
t 2 1
t Conf.
t 2 12
t Conf.
Country Coef.
Stat. R
2
interv. N
Coef. Stat.
R
2
interv. N
United States Coef.
1.4 2.4
0.4 0.1–2.7
10 1.2
9.8 0.9
0.9–1.5 14
Constant 2
1.4 2
0.8 2
5.2–2.4 2
0.3 2
0.8 2
1.0–0.4 Japan
Coef. 0.5
0.7 2
0.1 2
1.1–2.1 10
1.4 7.3
0.8 1.0–1.8
14 Constant
1.6 0.7
2 4.0–7.3
2 1.1
2 1.7
2 2.5–0.3
Germany Coef.
0.3 0.4
2 0.1
2 1.7–2.4
10 0.2
2.0 0.2
0.0–0.4 14
Constant 1.8
0.8 2
3.3–6.9 1.4
2.6 0.2–2.5
France Coef.
2 0.8
2 1.0
0.0 2
2.5–0.9 10
0.8 2.3
0.2 0.0–1.5
14 Constant
4.0 2.3
2 0.1–8.1
0.7 1.2
2 0.6–1.9
United Kingdom Coef.
2.2 1.9
0.2 2
0.4–4.9 10
1.1 7.9
0.8 0.8–1.5
14 Constant
2 3.1
2 1.1
2 9.8–3.6
0.6 1.7
2 0.2–1.2
Canada Coef.
1.4 2.0
0.2 2
0.2–3.0 10
1.4 5.9
0.7 0.9–1.9
14 Constant
2 1.7
2 0.8
2 6.8–3.4
2 0.6
2 1.0
2 2.0–0.8
Italy Coef.
0.5 1.2
0.0 2
0.5–1.5 10
0.9 3.1
0.4 0.3–1.5
14 Constant
0.8 0.7
2 2.0–3.6
0.4 0.6
2 0.9–1.6
Other OECD Coef.
2 0.0
2 0.0
2 0.1
2 3.0–3.0
10 1.1
2.1 0.2
2 0.2–2.2
14 Constant
2.5 0.8
2 4.7–9.7
0.1 0.1
2 2.0–2.2
68 M. E. Kreinin
Table 5: IMF Data on Real GDP Growth Rate–Time Series Naive Model
95 t 2
1 t
Conf. Country
Coef. Stat.
R
2
interv. N
United States Coef.
0.2 0.8
0.0 2
0.4–0.8 14
Constant 2.0
2.5 0.2–3.8
Japan Coef.
0.7 2.7
0.3 0.1–1.2
14 Constant
0.8 0.8
2 1.3–3.0
Germany Coef.
0.3 1.3
0.0 2
0.2–0.9 14
Constant 1.4
1.9 2
0.2–3.0 France
Coef. 0.3
1.1 0.0
2 0.3–0.9
14 Constant
1.4 2.2
0.0–2.8 United Kingdom
Coef. 0.6
3.4 0.4
0.2–1.0 14
Constant 1.1
2.0 2
0.1–2.3 Canada
Coef. 0.3
1.0 0.0
2 0.3–0.9
14 Constant
1.9 1.9
2 0.3–4.0
Italy Coef.
0.4 1.7
0.1 2
0.1–0.9 14
Constant 1.0
1.8 2
0.2–2.3 Other Europe
Coef. 0.5
2.1 0.2
2 0.0–1.1
14 Constant
1.1 1.7
2 0.3–2.4
sets of forecasts is impossible by reason of different years and countries of coverage.
Table 8 shows that the OECD inflation projections for individ- ual countries meet the dual criterion coefficient 5 1 and con-
stant 5 0 within the respective 95-percent confidence intervals and have desirable statistical properties. The United States and
France exhibit the most robust results. Indeed, the dual criterion is met also in all but two Greece and Luxembourg of the small
OECD countries, not shown in the tables. The midyear projections constitute an improvement over the year-earlier ones. In the cross-
sectional regressions for the years 1975–94, the dual criterion was met in 14 years, while at least one criterion was met in 5 years.
However, as shown in Table 9, the Naive model gives equally unbiased results, for both the large and the small not shown
OECD countries. In its cross-sectional regressions for 1973–94 the dual criterion was met in 12 years, and at least one of them
was not met in 10 years.
Very similar results are obtained in the case of the IMF projec- tions. Again, the forecasts are “best” for the United States and
France; they are more reliable in midyear than a year earlier Table 10; the dual criterion was met in the cross-sectional data
ACCURACY
OF OECD
AND IMF
P ROJECTION
69
Table 6: Projections of Real GDP Growth-Turning Points: Cross-Section and Time Series Combined
95 95
t 2 1
t Conf.
t 2 12
t Conf.
Coef. Stat.
R
2
interv. N
Coef. Stat.
R
2
interv. N
A OECD Downturns only
Coef. 0.0
0.3 0.0
2 0.2–0.3
59 0.4
3.3 0.1
0.1–0.6 61
Constant 2
1.5 2
4.1 2
2.1–0.8 2
1.3 2
4.6 2
1.8–0.7 Downturns and upturns
Coef. 0.2
1.1 0.0
2 0.1–0.5
119 0.7
8.0 0.3
0.6–0.9 121
combined Constant
0.5 1.5
2 0.1–1.1
0.2 0.8
2 0.2–0.6
B IMF Downturns only
Coef. 0.7
1.9 0.2
2 0.0–1.4
8 0.3
2.0 0.2
0.0–0.7 15
Constant 2
2.4 2
3.1 2
3.8–0.9 2
1.0 2
4.2 2
1.5–0.5 Downturns and upturns
Coef. 2
0.0 2
0.0 0.0
2 1.2–1.2
14 1.3
5.6 0.6
0.7–1.4 26
combined Constant
0.4 0.3
2 2.3–3.0
2 0.0
2 0.2
2 0.6–0.5
70
M. E.
Kreinin
Table 7: Projections of GDP Deflator: Cross Section and Time Series Combined
95 95
t 2 1
t Conf.
t 2 12
t Conf.
Coef. Stat.
R
2
interv. N
Coef. Stat.
R
2
interv. N
A OECD: i. Projections Coef.
1.2 65.0
0.9 1.1–1.2
535 1.0
69.5 0.93
1.0–1.1 563
Constant 2
0.3 2
1.5 2
0.7–1.0 0.1
0.9 2
0.2–0.4 i.i OECD Naive Model same as last year
Coef. 0.9
48.6 0.8
0.9–1.0 608
Constant 0.4
1.3 2
0.2–0.9 B IMF: i Projections
Coef. 0.9
8.8 0.6
0.7–1.1 80
0.9 30.6
0.9 0.9–1.0
112 Constant
0.6 1.3
2 0.3–1.4
0.2 0.8
2 0.3–0.7
i.i Naive Model same as last year Coef.
0.8 25.9
0.9 0.7–0.8
111 Constant
0.5 2.5
0.1–0.9
ACCURACY
OF OECD
AND IMF
P ROJECTION
71
Table 8: OED Projections of GAP Deflator–Time Series
95 95
t 2 1
t Conf.
t 2 12
t Conf.
Country Coef.
Stat. R
2
interv. N
Coef. Stat.
R
2
interv. N
United States Coef.
0.92 8.2
0.75 0.7–1.2
23 1.1
17.8 0.9
0.9–1.2 26
Constant 0.5
0.7 2
0.9–1.8 2
0.1 2
0.3 2
0.8–0.6 Japan
Coef. 0.98
4.4 0.5
0.5–1.4 23
0.94 16.1
0.9 0.8–1.1
26 Constant
0.2 0.2
2 2.1–2.5
0.1 0.3
2 0.6–0.9
Germany Coef.
1.1 7.5
0.7 0.8–1.4
23 1.0
16.1 0.9
2 0.9–1.2
26 Constant
2 0.1
2 0.1
2 1.2–1.1
2 0.1
2 0.2
2 0.6–0.5
France Coef.
0.97 15.2
0.9 0.8–1.1
23 0.95
20.8 0.95
0.9–1.0 26
Constant 0.4
0.9 2
0.6–1.5 0.4
1.1 2
0.3–1.1 United Kingdom
Coef. 1.0
8.1 0.7
0.8–1.3 23
0.98 25.6
0.96 0.9–1.1
26 Constant
0.9 0.7
2 1.6–3.4
0.5 1.2
2 0.3–1.3
Canada Coef.
1.1 6.4
0.6 0.7–1.4
23 1.1
12.3 0.9
0.9–1.3 26
Constant 2
0.5 2
0.5 2
2.8–1.8 2
0.5 2
0.8 2
1.6–0.7 Italy
Coef. 0.94
10.1 0.8
0.7–1.1 23
0.9 22.2
0.95 0.8–1.0
26 Constant
2.0 1.9
2 0.2–4.2
1.5 3.1
0.5–2.5 Australia
Coef. 0.93
5.8 0.6
0.6–1.3 20
0.93 9.5
0.8 0.7–1.1
20 Constant
0.8 0.6
2 2.1–3.6
0.5 0.6
2 1.3–2.4
72 M. E. Kreinin
Table 9: OED Projections of GAP Deflator Naive Model
95 t 2
1 t
Conf. Country
Coef. Stat.
R
2
interv. N
United States Coef.
0.8 5.8
0.6 0.5–1.0
27 Constant
1.2 1.5
2 0.4–2.8
Japan Coef.
0.7 4.2
0.4 0.3–1.0
27 Constant
1.3 1.4
2 0.6–3.2
Germany Coef.
0.6 4.2
0.4 0.3–0.9
27 Constant
1.6 2.4
0.2–3.0 France
Coef. 0.9
9.5 0.8
0.7–1.1 27
Constant 0.6
0.8 2
0.9–2.1 United Kingdom
Coef. 0.7
4.7 0.5
0.4–1.0 27
Constant 2.6
1.8 2
0.4–5.7 Canada
Coef. 0.8
6.6 0.6
0.6–1.1 27
Constant 0.9
1.1 2
0.8–2.6 Italy
Coef. 0.9
10.3 0.8
0.7–1.1 27
Constant 1.1
1.1 2
1.0–3.2 Australia
Coef. 0.9
7.5 0.7
0.7–1.2 22
Constant 0.4
0.3 2
1.9–2.7
in 9 out of 10 years; and the Naive forecasts gives equally unbiased results Table 11.
4. UNEMPLOYMENT
