Physics – Condensed Matter
Scientific paper
2001-02-20
Physica A, 280 (2000), 497-504
Physics
Condensed Matter
15 Pages, 2 Figures
Scientific paper
10.1016/S0378-4371(00)00075-3
By scientific standards, the accuracy of short-term economic forecasts has been poor, and shows no sign of improving over time. We form a delay matrix of time-series data on the overall rate of growth of the economy, with lags spanning the period over which any regularity of behaviour is postulated by economists to exist. We use methods of random matrix theory to analyse the correlation matrix of the delay matrix. This is done for annual data from 1871 to 1994 for 17 economies, and for post-war quarterly data for the US and the UK. The properties of the eigenvalues and eigenvectors of these correlation matrices are similar, though not identical, to those implied by random matrix theory. This suggests that the genuine information content in economic growth data is low, and so forecasting failure arises from inherent properties of the data.
Mounfield C.
Ormerod Paul
No associations
LandOfFree
Random Matrix Theory and the Failure of Macroeconomic Forecasts does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Random Matrix Theory and the Failure of Macroeconomic Forecasts, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Random Matrix Theory and the Failure of Macroeconomic Forecasts will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-593224