Are Some Forecasters Better than Others? Re-examination of Macroeconomic Forecasters Surveyed by Consensus Economics
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Previous studies concluded that there is not much difference in forecasting accuracy among individual macroeconomic forecasters. We have another look at this issue, widening the scope of analysis beyond a single country. If the forecast errors for different countries are aggregated, the difference in accuracy among individual forecasters appears persistent. An examination of transition probability suggests that the persistence is stronger among "bad" forecasters than among "good" forecasters. This conclusion is weakened, however, when we determine the accuracy by rank forecasts. In this case, the difference in rank-forecast accuracy among individual forecasters is less persistent, and the transition probability does not show a clear pattern.
Abstract
Previous studies concluded that there is not much difference in forecasting accuracy among individual macroeconomic forecasters. We have another look at this issue, widening the scope of analysis beyond a single country. If the forecast errors for different countries are aggregated, the difference in accuracy among individual forecasters appears persistent. An examination of transition probability suggests that the persistence is stronger among "bad" forecasters than among "good" forecasters. This conclusion is weakened, however, when we determine the accuracy by rank forecasts. In this case, the difference in rank-forecast accuracy among individual forecasters is less persistent, and the transition probability does not show a clear pattern.
참고문헌 (18)
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