01968cas a2200241 a 4500 AALejournalIMF018897 230101c9999 xx r poo 0 0eng d 5.00 USD 9781484386187 1018-5941 BD-DhAAL BD-DhAAL Hellwig, Klaus-Peter. Overfitting in Judgment-based Economic Forecasts : The Case of IMF Growth Projections / Klaus-Peter Hellwig. Washington, D.C. : International Monetary Fund, 2018. 1 online resource (43 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students I regress real GDP growth rates on the IMF's growth forecasts and find that IMF forecasts behave similarly to those generated by overfitted models, placing too much weight on observable predictors and underestimating the forces of mean reversion. I identify several such variables that explain forecasts well but are not predictors of actual growth. I show that, at long horizons, IMF forecasts are little better than a forecasting rule that uses no information other than the historical global sample average growth rate (i.e., a constant). Given the large noise component in forecasts, particularly at longer horizons, the paper calls into question the usefulness of judgment-based medium and long-run forecasts for policy analysis, including for debt sustainability assessments, and points to statistical methods to improve forecast accuracy by taking into account the risk of overfitting. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2018/260 Full text available on IMF http://elibrary.imf.org/view/journals/001/2018/260/001.2018.issue-260-en.xml IMF e-Library