 Differing behaviours of forecasters of UK GDP growthNigel Meade and Ciaran Driver International Journal of Forecasting, 2023, vol. 39, issue 2, 772-790 Abstract: The literature suggests that the dispersion of agents’ forecasts of an event flows from heterogeneity of beliefs and models. Using a data set of fixed event point forecasts of UK GDP growth by a panel of independent forecasters published by HM Treasury, we investigate three questions concerning this dispersion: (a) Are agent’s beliefs randomly distributed or do agents fall into groups with similar beliefs? (b) as agents revise their forecasts, what roles are played by their previous and consensus forecasts? and (c) is an agent’s private information of persistent value? We find that agents fall into four clusters, a large majority, a few pessimists, and two idiosyncratic agents. Our proposed model of forecast revisions shows agents are influenced positively by a change in the consensus forecast and negatively influenced by the previous distance of their forecast from the consensus. We show that the forecasts of a minority of agents significantly lead the consensus. Keywords: GDP forecasts; Fixed event forecasting; Herding; Cluster analysis; Granger causality (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:39:y:2023:i:2:p:772-790 DOI: 10.1016/j.ijforecast.2022.02.005 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 |
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