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Appendix: Data Definitions
The views expressed in this paper are those of the authors and do not necessarily represent those of the IMF or IMF policy. The forecasts presented in this paper are not official IMF forecast. We thank Sharon Kozicki and Larry Schembri for useful comments, and Chunan Cao and Serhat Solmaz for their valuable research assistance. Marianne Johnson is a Research Advisor at the Bank of Canada. The remaining authors work in the Fund’s Economic Modeling Unit of the Research Department. The programs used in this paper can be downloaded from www.douglaslaxton.org
For example, Romer and Romer (2000) and Sims (2002) document the relative accuracy of Federal Reserve “Greenbook” forecasts. Tulip (2005) finds that the short-run (but not longer-run) accuracy of the Greenbook forecasts increased after 1984.
In practice, of course, forecasters conduct external evaluations of forecast errors and this information about the variance of the error term is often incorporated into the model-based forecast analysis.
The technical details of the methodology can be found in Beneš., Laxton, and Matheson (2010).