Evaluating heterogeneous forecasts for vintages of macroeconomic variables

Philip Hans Franses and Max Welz

Journal of Forecasting, 2022, vol. 41, issue 4, 829-839

Abstract: There are various reasons why professional forecasters may disagree in their quotes for macroeconomic variables. One reason is that they target at different vintages of the data. We propose a novel method to test forecast bias in case of such unobserved heterogeneity. The method is based on so‐called symbolic regression, where the variables of interest become interval variables. We associate the interval containing the vintages of data with the intervals of the forecasts. An illustration to 18 years of forecasts for annual US real GDP growth, given by the Consensus Economics forecasters, shows the relevance of the method.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/for.2835

Related works:
Working Paper: Evaluating heterogeneous forecasts for vintages of macroeconomic variables (2018)
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: https://EconPapers.repec.org/RePEc:wly:jforec:v:41:y:2022:i:4:p:829-839

Access Statistics for this article

Journal of Forecasting is currently edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().