Economics at your fingertips  

The accuracy and efficiency of the Consensus Forecasts: A further application and extension of the pooled approach

Philipp Ager, M. Kappler and Steffen Osterloh ()

International Journal of Forecasting, 2009, vol. 25, issue 1, 167-181

Abstract: This paper analyses the performance of consensus forecasts, published by Consensus Economics, 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 set up in order to accommodate the forecasting scheme of the consensus forecasts. Furthermore, the pooled approach is extended by a sequential test for detecting the critical horizon after which the forecast should be regarded as biased. Moreover, heteroscedasticity in the form of target-year-specific variances of macroeconomic shocks is taken into account. The results show that in the analysed period, which was characterised by pronounced macroeconomic shocks, several countries show biased forecasts, especially with forecast horizons of more than 12 months. In addition, information efficiency has to be rejected in almost all cases.

Keywords: Evaluating; forecasts; Business; cycle; forecasting; Inflation; forecasting; Consensus; forecasts; Bias; and; efficiency (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (57) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The Accuracy and Efficiency of the Consensus Forecasts: A Further Application and Extension of the Pooled Approach (2007) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

International Journal of Forecasting is currently edited by R. J. Hyndman

More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2023-03-13
Handle: RePEc:eee:intfor:v:25:y:2009:i:1:p:167-181