Are some forecasters really better than others?

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Title: Are some forecasters really better than others?
Authors: D'Agostino, Antonello
McQuinn, Kieran
Whelan, Karl
Permanent link: http://hdl.handle.net/10197/2645
Date: Apr-2010
Abstract: 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.
Funding Details: Not applicable
Type of material: Working Paper
Publisher: University College Dublin. School of Economics
Keywords: Forecasting;Bootstrap
Subject LCSH: Economic forecasting--Evaluation
Bootstrap (Statistics)
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Economics Working Papers & Policy Papers

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