The accuracy and efficiency of the Consensus Forecasts: A further application and extension of the pooled approach
This paper analyses the performance of consensus forecasts, published by Consensus Economics, for 12 countries over the period from 1996 to 2006 regarding bias and information efficiency. A pooled approach is employed which permits the evaluation of all forecasts for each target variable over 24 horizons simultaneously. It is shown how the pooled approach needs to be set up in order to accommodate the forecasting scheme of the consensus forecasts. Furthermore, the pooled approach is extended by a sequential test for detecting the critical horizon after which the forecast should be regarded as biased. Moreover, heteroscedasticity in the form of target-year-specific variances of macroeconomic shocks is taken into account. The results show that in the analysed period, which was characterised by pronounced macroeconomic shocks, several countries show biased forecasts, especially with forecast horizons of more than 12 months. In addition, information efficiency has to be rejected in almost all cases.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Davies, Anthony & Lahiri, Kajal, 1995. "A new framework for analyzing survey forecasts using three-dimensional panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 205-227, July.
- William D. Nordhaus, 1985.
"Forecasting Efficiency: Concepts and Applications,"
Cowles Foundation Discussion Papers
774, Cowles Foundation for Research in Economics, Yale University.
- Kajal Lahiri & Gultekin Isiklar & Prakash Loungani, 2006.
"How quickly do forecasters incorporate news? Evidence from cross-country surveys,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 21(6), pages 703-725.
- Isiklar, Gultekin & Lahiri, Kajal & Loungani, Prakash, 2006. "How quickly do forecasters incorporate news? Evidence from cross-country surveys," MPRA Paper 22065, University Library of Munich, Germany.
- Loungani, Prakash, 2001.
"How accurate are private sector forecasts? Cross-country evidence from consensus forecasts of output growth,"
International Journal of Forecasting,
Elsevier, vol. 17(3), pages 419-432.
- Prakash Loungani, 2000. "How Accurate Are Private Sector Forecasts: Cross-Country Evidence From Consensus Forecasts of Output Growth," IMF Working Papers 00/77, International Monetary Fund.
- Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2001.
"Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets,"
Econometrics Working Papers Archive
wp2001_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- 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.
- Fred Joutz & Michael P. Clements & Herman O. Stekler, 2007. "An evaluation of the forecasts of the federal reserve: a pooled approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 121-136.
- Davies, Antony, 2006. "A framework for decomposing shocks and measuring volatilities derived from multi-dimensional panel data of survey forecasts," International Journal of Forecasting, Elsevier, vol. 22(2), pages 373-393.
- David I. Harvey & Stephen J. Leybourne & Paul Newbold, 2001. "Analysis of a panel of UK macroeconomic forecasts," Econometrics Journal, Royal Economic Society, vol. 4(1), pages S37-S55.
- Batchelor, Roy, 2007. "Bias in macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 23(2), pages 189-203.
- Isiklar, Gultekin & Lahiri, Kajal, 2007.
"How far ahead can we forecast? Evidence from cross-country surveys,"
International Journal of Forecasting,
Elsevier, vol. 23(2), pages 167-187.
- Kajal Lahiri & Gultekin Isiklar, 2006. "How Far Ahead Can We Forecast? Evidence From Cross-country Surveys," Discussion Papers 06-04, University at Albany, SUNY, Department of Economics.
- Roy Batchelor, 2001. "How useful are the forecasts of intergovernmental agencies? The IMF and OECD versus the consensus," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 225-235.
- Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, July.
- Isiklar, Gultekin, 2005.
"On aggregation bias in fixed-event forecast efficiency tests,"
Elsevier, vol. 89(3), pages 312-316, December.
- Gultekin Isiklar, 2004. "On aggregation bias in fixed-event forecast efficiency tests," Econometrics 0412011, EconWPA, revised 27 Dec 2004.
- Fildes, Robert & Stekler, Herman, 2002. "Reply to the comments on 'The state of macroeconomic forecasting'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 503-505, December.
- Roy Batchelor, 2007. "Forecaster Behaviour and Bias in Macroeconomic Forecasts," Ifo Working Paper Series Ifo Working Paper No. 39, Ifo Institute for Economic Research at the University of Munich.
- Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
- Jacob A. Mincer & Victor Zarnowitz, 1969. "The Evaluation of Economic Forecasts," NBER Chapters, in: Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance, pages 3-46 National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:25:y:2009:i:1:p:167-181. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.