Accuracy, unbiasedness and efficiency of professional macroeconomic forecasts: An empirical comparison for the G7

Dovern, Jonas; Weisser, Johannes

doi:10.1016/j.ijforecast.2010.05.016

Cited by 91 publications

(68 citation statements)

References 33 publications

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“…Hence, there is a strong incentive to make a well-founded prediction in order not to damage the reputation. Against this background, Dovern and Weisser (2011) find that individual forecasts of U.S. inflation are largely unbiased. Moreover, CE data has the advantage that it runs on a monthly frequency.…”

Section: Survey-based Measuresmentioning

confidence: 98%

Inflation uncertainty revisited: a proposal for robust measurement

2014

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractAny measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled completely. This calls into question whether an individual measure delivers a reliable signal. To reduce idiosyncratic measurement error, we propose using common information contained in different measures derived from survey data, a variety of forecast models, and volatility models. We show that all measures are driven by a common component which constitutes an indicator for inflation uncertainty. Moreover, the idiosyncratic component of survey disagreement contains systematic measurement error during economic downturns. Finally, we study the Friedman-Ball hypothesis. Using the indicator, it turns out that higher inflation is followed by higher uncertainty. By contrast, we obtain contradictory results for the individual measures. We also document that, after an inflationary shock, uncertainty decreases in the first two months which is traceable to the energy component in CPI inflation.JEL Code: C53, E31, E37.

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Section: Survey-based Measuresmentioning

confidence: 98%

Inflation uncertainty revisited: a proposal for robust measurement

2014

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“…The same author mentioned two groups of accuracy techniques used in assessing the predictions: quantitative forecasts accuracy statistics and qualitative accuracy methods. Dovern and Weisser (2011) used a broad set of individual forecasts to analyse four macroeconomic variables in G7 countries. Analysing accuracy, bias and forecasts effi ciency resulted in large discrepancies between countries and also in the same country for different variables.…”

Section: Literature Reviewmentioning

confidence: 99%

The Improvement of Unemployment Rate Predictions Accuracy

Simionescu¹

2015

Prague Economic Papers

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Abstract:This research is related to the assessment of alternative unemployment rate predictions for the Romanian economy, the forecasts being provided by three anonymous forecasters: F1, F2 and F3. F3 provided the most accurate forecasts for the horizon 2001-2014, while F2 predictions are the less accurate according to U1 Theil's statistic and according to a new method that has not been used before in literature in this context. The multi-criteria ranking was applied to make a hierarchy of the forecasters regarding the accuracy and fi ve important accuracy measures were taken into account at the same time: mean errors, mean squared error, root mean squared error, U1 and U2 statistics of Theil. The combined forecasts of forecasters' predictions are the best strategy to improve the forecasts accuracy. The fi ltered and smoothed original predictions based on Hodrick-Prescott fi lter, respectively Holt-Winters technique, are a good strategy of improving the accuracy only for F2 expectations. The assessment and improvement of forecasts accuracy have an important contribution in growing the quality of decision-making process.

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“…Furthermore, implementing the notion that forecasters can extract valuable information from consensus forecasts, Bernhardt et al (2006) as well as Chen and Jiang (2006) present evidence in favor of anti-herding in forecasting. Most recently, Dovern and Weisser (2011) investigate macroeconomic forecasts and find a strong dispersion of forecasts, leading them to conclude that predictions overall are informational efficient and unbiased.…”

Section: Related Literaturementioning

confidence: 99%

Strategic Coordination in Forecasting. An Experimental Study

et al. 2014

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. poor performances of prediction markets as resulting from the distinct incentives that forecasters face. While this notion has been considered theoretically and empirically, the underlying behavioral working mechanisms have not yet been described. We thus put forth an exploratory experiment on the emergence and robustness of coordination in a forecasting setting implementing contradictory incentives for accurate forecasts and coordination. Terms of use: Documents inForecasts are shown to be inaccurate and biased toward current values. This in turn has subjects aiming at coordination benefits. Predominantly, coordination is achieved through the risk-dominant equilibrium as the game proceeds. Once established, coordination is fairly stable and adds to overall welfare. Our results support the assumption of rational herding as a driving force for predictions of poor accuracy that are systematically biased towards focal points.

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Accuracy, unbiasedness and efficiency of professional macroeconomic forecasts: An empirical comparison for the G7

Cited by 91 publications

References 33 publications

Inflation uncertainty revisited: a proposal for robust measurement

Inflation uncertainty revisited: a proposal for robust measurement

The Improvement of Unemployment Rate Predictions Accuracy

Strategic Coordination in Forecasting. An Experimental Study

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