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Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets

Giampiero Gallo (), Clive Granger and Yongil Jeon ()
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Yongil Jeon: Center for Basic Research in the Social Sciences, Harvard University

Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"

Abstract: This paper presents evidence, using data from Consensus Forecasts, that there is an 'attraction' to conform to the mean forecasts; in other words, views expressed by other forecasters in the previous period influence individuals' current forecast. The paper then discusses-and provides further evidence on-two important implications of this finding. The first is that the forecasting performance of these groups may be severely affected by the detected imitation behavior and lead to convergence to a value which is not the 'right' target. Second, since the forecasts are not independent, the common practice of using the standard deviation from the forecasts' distribution as if they were standard errors of the estimated mean is not warranted.

Keywords: Multistep forecast; Consensus forecast; Preliminary data. (search for similar items in EconPapers)
Date: 2001
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