The Accuracy and Efficiency of the Consensus Forecasts: A Further Application and Extension of the Pooled Approach
In this paper we analyze the macroeconomic forecasts of the Consensus Forecasts 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 adjusted in order to accommodate the forecasting scheme of the Consensus Forecasts. Furthermore, the pooled approach is extended by a sequential test with the purpose of detecting the critical horizon after which the forecast should be regarded as biased. Moreover, heteroscedasticity in the form of year-specific variances of macroeconomic shocks is taken into account. The results show that in the analyzed period which was characterized by pronounced macroeconomic shocks, several countries show biased forecasts, especially with forecasts covering more than 12 months. In addition, information efficiency has to be rejected in almost all cases.
|Date of creation:||2007|
|Date of revision:|
|Contact details of provider:|| Postal: L 7,1; D - 68161 Mannheim|
Web page: http://www.zew.de/
More information through EDIRC
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.:
- Gultekin Isiklar, 2004.
"On aggregation bias in fixed-event forecast efficiency tests,"
0412011, EconWPA, revised 27 Dec 2004.
- Isiklar, Gultekin, 2005. "On aggregation bias in fixed-event forecast efficiency tests," Economics Letters, Elsevier, vol. 89(3), pages 312-316, December.
- Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
- 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.
- 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.
- 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.
- Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
- William D. Nordhaus, 1985.
"Forecasting Efficiency: Concepts and Applications,"
Cowles Foundation Discussion Papers
774, Cowles Foundation for Research in Economics, Yale University.
- Roy Batchelor, 2007. "Forecaster Behaviour and Bias in Macroeconomic Forecasts," Ifo Working Paper Series Ifo Working Paper No. 39, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- 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.
- 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.
- Bonham, Carl S & Cohen, Richard H, 2001.
"To Aggregate, Pool, or Neither: Testing the Rational-Expectations Hypothesis Using Survey Data,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 19(3), pages 278-91, July.
- Carl S Bonham & Richard H Cohen, 2000. "To Aggregate, Pool, or Neither: Testing the Rational Expectations Hypothesis Using Survey Data," Working Papers 200003, University of Hawaii at Manoa, Department of Economics.
- Batchelor, Roy, 2007. "Bias in macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 23(2), pages 189-203.
- 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.
- 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.
- 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.
- 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.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, December.
- 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.
- 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".
- Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:zbw:zewdip:6655. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.