Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets
AbstractThis paper presents evidence, using data from Consensus Forecasts, that there is an 'attraction' to conform to the mean forecasts; in other words, views expressed by other forecasters in the previous period influence individuals' current forecast. The paper then discusses-and provides further evidence on-two important implications of this finding. The first is that the forecasting performance of these groups may be severely affected by the detected imitation behavior and lead to convergence to a value which is not the 'right' target. Second, since the forecasts are not independent, the common practice of using the standard deviation from the forecasts' distribution as if they were standard errors of the estimated mean is not warranted.
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Bibliographic InfoPaper provided by Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" in its series Econometrics Working Papers Archive with number wp2001_01.
Length: 24 pages
Date of creation: 2001
Date of revision:
Multistep forecast; Consensus forecast; Preliminary data.;
Other versions of this item:
- Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2002. "Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 2.
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
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