Until recently the Economic Research Centre (ERC) panel at the University of Western Australia published forecasts of future gold prices in The West Australian newspaper. This note assesses the accuracy of these forecasts. The results show that the actual gold price series follows a simple random walk and that the forecasts obtained from this model perfor M slightly better than those of the ERC panel.
Dickey, D.A. and W.A. Fuller, 1981, Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 4, 1057–1072.
2.
Selvanathan, E.A., 1989, An assessment of the ERCP gold price forecasts, Discussion Paper 89.30, Department of Economics, The University of Western Australia.
