This paper analyzes the effects of IMF member countries participation in the IMF’s Data Standards Initiatives (DSI) on the statistical quality of WEO forecasts. Results show that WEO forecasts for SDDS subscribers are in general better than for GDDS participants and those member countries than do not participate in the DSIs. Policy implications are that the DSI positively affect the statistical quality of forecasts and by extension improve the necessary conditions for multilateral surveillance and the provision of member countries with high quality policy advice.
Jin-Kyu Jung, Manasa Patnam, and Anna Ter-Martirosyan
Forecasting macroeconomic variables is key to developing a view on a country's economic outlook.
Most traditional forecasting models rely on fitting data to a pre-specified relationship between input
and output variables, thereby assuming a specific functional and stochastic process underlying that
process. We pursue a new approach to forecasting by employing a number of machine learning
algorithms, a method that is data driven, and imposing limited restrictions on the nature of the true
relationship between input and output variables. We apply the Elastic Net, SuperLearner, and
Recurring Neural Network algorithms on macro data of seven, broadly representative, advanced and
emerging economies and find that these algorithms can outperform traditional statistical models,
thereby offering a relevant addition to the field of economic forecasting.
Macroeconomic analysis in Lebanon presents a distinct challenge. For example, long
delays in the publication of GDP data mean that our analysis often relies on proxy
variables, and resembles an extended version of the “nowcasting” challenge familiar to
many central banks. Addressing this problem—and mindful of the pitfalls of extracting
information from a large number of correlated proxies—we explore some recent
techniques from the machine learning literature. We focus on two popular techniques
(Elastic Net regression and Random Forests) and provide an estimation procedure that is
intuitively familiar and well suited to the challenging features of Lebanon’s data.