Research Database

Forecasts are routinely revised, and these revisions are often the subject of informal analysis and discussion. This paper argues 1) that forecast revisions are analyzed because they help forecasters and forecast users to evaluate forecasts and forecasting procedures, and 2) that these analyses can be sharpened by using the forecasting model to systematically express its forecast revision as the sum of components identified with specific data revisions and forecast errors. An algorithm for this purpose is explained and illustrated.

Many regional econometric models are estimated under the maintained assumption that certain national variables are exogenous with respect to the regional variables in the models. This exogeneity assumption is testable using time series methods of inference, yet, to my knowledge, no regional model has been so tested. In this paper, I test the national exogeneity assumption included in the specification of a particular regional forecasting model. Such a test is, I believe, a necessary and important step in the construction of any econometric model.