Evaluating heterogeneous forecasts for vintages of macroeconomic variables

Philip Hans Franses and Max Welz

No EI2018-47, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

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 heterogeneity. The method is based on 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 USA real GDP growth, given by the Consensus Economics forecasters, shows the relevance of the method.

Keywords: Forecast bias; Data revisions; Interval data; Symbolic regression (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Pages: 22
Date: 2018-09-01
New Economics Papers: this item is included in nep-ecm and nep-for
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Journal Article: Evaluating heterogeneous forecasts for vintages of macroeconomic variables (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:114113

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