NGDP data and validating forecasts
The GDP numbers for Q2 came out last week and everyone seemed to be making a big deal about 4% real GDP growth — it was basically within the error. The same could be said of the 5% real GDP growth back in 2014 Q2 and Q3. I guess the HP filter in my head smooths out most of the quarter to quarter fluctuations as noise.
Anyway, I have several forecasts that made claims about future GDP measurements and it's time once again to mark to market. First is NGDP level and growth rate (click to enlarge):
Next are a couple of head-to-head comparisons of the Dynamic Information Equilibrium Model (DIE model, or DIEM) with NY Fed DSGE model and a VAR from the Minneapolis Fed. There's not much conclusive with the DSGE comparison that's just gotten underway:
However, while the data is consistent with both the VAR forecast and the DIEM, due to the lower error the DIEM is technically winning this contest (see the footnote here for a note about short term forecasting based on a recent data point):
And finally there is "Okun's law" (aka the "quantity theory of labor", see also here):
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Update
Monthly (core) PCE inflation data came out today and here are the forecasts (red) compared to the post-forecast data (black) for continuously compounded annual rate of change (log derivative) and year-over-year change:
