forecast-evaluation 0.1.5

A package for Forecast Evaluation

Forecast Evaluation Package

A Python package for analysing and visualising economic forecast data.

Installation

Installing from PyPI

pip install forecast_evaluation

Installing the development version

git clone https://github.com/bank-of-england/forecast_evaluation.git
cd forecast_evaluation
pip install -e .

Documentation

The package documentation can be found here with examples on how to use the package in this notebook.

Features

The package contains tools to inspect the accuracy, unbiasedness and efficiency of economic forecasts. It includes visualisation tools, statistical tests and accuracy metrics commonly used for forecast evaluation. In handles both point forecasts (with the ForecastData object) and density forecasts (with the DensityForecastData object).

Visualisation for forecasts, outturns and errors:

• Forecast vintages plot
• Accuracy and bias plots (average and rolling averages)
• Hedgehog plots
• Outturn revisions
• Forecast error distributions

Statistical tests

• Accuracy analysis (Diebold-Mariano test)
• Bias analysis (Mincer-Zarnowitz Regression)
• Weak Efficiency analysis (Revision predictability)
• Strong Efficiency analysis (Blanchard-Leigh regression)
• Testing correlation between forecast revisions and forecast errors
• Rolling-window analysis of most tests with fluctuation tests.

Accuracy metrics available

• Root mean square error
• Mean absolute error
• Median absolute error

All of the above features can be explored interactively in a dashboard.

Loading data

Data format

The forecasts should be in a pandas dataframe format with the following structure:

            date vintage_date variable       source frequency  forecast_horizon  value
0     2014-12-31   2015-03-31      gdp        BVAR         Q                -1    100
1     2015-03-31   2015-03-31      gdp        BVAR         Q                 0    101
2     2015-06-30   2015-03-31      gdp        BVAR         Q                 1    102
3     2015-09-30   2015-03-31      gdp        BVAR         Q                 2    103

Outturns follow the same structure but do not contain a source column.

Creating a ForecastData instance

The package's main object is the ForecastData class which holds the outturns, forecasts, transformed forecasts and forecast errors. You can create an instance of this class with:

import forecast_evaluation as fe

forecast_data = fe.ForecastData(forecasts_data=forecasts_dataframe, outturns_data=outturns_dataframe)

The package also comes with built-in data used in the Bank of England 2026 Forecast Evaluation Report which can be loaded with:

forecast_data = fe.ForecastData(load_fer=True) 

The forecast_data object has methods to filter, analyse and visualise the data and resulting analysis. These are illustrated in the example notebook.

Results from the Bank of England 2026 Forecast Evaluation Macro Technical Paper can also be replicated with this notebook.

Run the dashboard

To make visualisation of forecasts and their properties easier, the package includes a dashboard. Once a ForecastData object has been created the dashboard can be run with:

forecast_data.run_dashboard()