The accuracy and efficiency of the consensus forecasts : a further application and extension of the pooled approach


Ager, Philipp ; Kappler, Marcus ; Osterloh, Steffen


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URL: http://ub-madoc.bib.uni-mannheim.de/1761
URN: urn:nbn:de:bsz:180-madoc-17617
Document Type: Working paper
Year of publication: 2007
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: E37 E32 C52 ,
Subject headings (SWD): Konjunkturprognose , Prognoseverfahren , Wirtschaftspolitik , Beratung , Bias , Industriestaaten
Individual keywords (German): 1996-2006
Keywords (English): business cycle forecasting , forecast evaluation , Consensus Forecasts
Abstract: 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.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Ager, Philipp ; Kappler, Marcus ; Osterloh, Steffen (2007) The accuracy and efficiency of the consensus forecasts : a further application and extension of the pooled approach. Open Access [Working paper]
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