Analysis Of A Panel Of UK Macroeconomic Forecasts  

Oleh:

Harvey, David I. ; Leybourne, Stephen J. ; Newbold, Paul

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 4 no. 1 (2001), page 37.
Topik: Consensus forecasts; Forecast properties; Forecast revisions; Forecast efficiency; Survey data
Fulltext: 37.pdf (310.74KB)

Isi artikel

We report an exploratory analysis of an interesting and important type of forecast data set. As is common for macroeconomic variables, forecasts from a large panel are available for annual macroeconomic aggregates. Although only a few years of accumulated experience are at hand, the data set is enriched by the presence of month-to-month revisions, over a period of 24 months, of forecasts for each predicted annual outcome. We analyse the evolution of summary cross-section statistics, and most notably we find excess smoothness to be displayed in the consensus (mean) forecast. This observation is confirmed by a test for forecast efficiency. The relationship between forecaster variability and forecast errors is also examined.

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