A Comparison of Anticipatory Surveys and Econometric Models in Forecasting U.S. Business Investment 1,2

Abstract

This paper compares the performance of several anticipatory surveys of U.S. business investment with each other and with projections generated by large-scale econometric models. The Commerce Department survey outperformed both the McGraw-Hill and Merrill Lynch surveys. The relatively strong representation of small and medium size firms in the Commerce survey appear to be the major factor in its superiority over the other surveys. The Commerce Department survey of business expectations also outperformed forecasts derived from either the Data Resources Inc. or the Wharton econometric models.