Are some forecasters really better than others?
09T16:59:25Z December 2010
In any dataset with individual forecasts of economic variables, some forecasters will perform better than others. However, it is possible that these ex post differences reflect sampling variation and thus overstate the ex ante differences between forecasters. In this paper, we present a simple test of the null hypothesis that all forecasters in the US Survey of Professional Forecasters have equal ability. We construct a test statistic that reflects both the relative and absolute performance of the forecaster and use bootstrap techniques to compare the empirical results with the equivalents obtained under the null hypothesis of equal forecaster ability. Results suggests limited evidence for the idea that the best forecasters are actually innately better than others, though there is evidence that a relatively small group of forecasters perform very poorly.
Type of Material
University College Dublin. School of Economics
UCD Centre for Economic Research Working Paper Series
Wp 10 12
Subject – LCSH
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License