| Abstract: | The recent experience of macroeconomic forecasting in the United Kingdom has prompted renewed interest in the evaluation of economic forecasts. This paper uses cointegration tests to investigate what can be learnt from the forecasts produced by the National Institute of Economic and Social Research (NIESR) over the last two decades. Whilst the forecasts and outturns are found to be cointegrated, there remains evidence of systematic relationships between a number of forecast errors. Our results also fail to reject non-cointegration between different vintages of data, suggesting that considerable care should be exercised in both the choice of realisation data used and in the means by which efficiency is tested. |
