Consensus forecasters: How good are they individually and why?

Philip Hans Franses and Nancy Maassen

No EI2015-21, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: We analyze the monthly forecasts for annual US GDP growth, CPI inflation rate and the unemployment rate delivered by forty professional forecasters collected in the Consensus database for 2000M01-2014M12. To understand why some forecasters are better than others, we create simple benchmark model-based forecasts. Evaluating the individual forecasts against the model forecasts is informative for how the professional forecasters behave. Next, we link this behavior to forecast performance. We find that forecasters who impose proper judgment to model-based forecasts also have highest forecast accuracy, and hence, they do not perform best just by luck.

Keywords: macroeconomic forecasts; expert adjustment (search for similar items in EconPapers)
JEL-codes: E27 E37 (search for similar items in EconPapers)
Pages: 25
Date: 2015-10-12
New Economics Papers: this item is included in nep-fdg, nep-for and nep-mac
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Citations: View citations in EconPapers (2)

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