✦ LIBER ✦

Bayesian consensus forecasts of macroeconomic variables

✍ Scribed by Carson E. Agnew

Publisher: John Wiley and Sons
Year: 1985
Tongue: English
Weight: 848 KB
Volume: 4
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.3980040405

No coin nor oath required. For personal study only.

✦ Synopsis

Economists, like other forecasters, share knowledge, data and theories in common. Consequently, their forecast errors are likely to be highly dependent. This paper reports on an empirical study of 16 macroeconomic forecasters. Composite forecasts are computed using a sequential weighting scheme that takes dependence into account; these are compared to a simple average and median forecasts. A within-sample composite is also calculated. Both these methods perform significantly better than the average or median of the forecasts. This improvement in accuracy is apparently because the dependence between the forecasters' errors is so high that the optimal composite forecasts sometimes lie outside the range of the individual forecasts.

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