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Are some forecasters really better than others?

Antonello D'Agostino (), Kieran McQuinn () and Karl Whelan ()

No 201012, Working Papers from School of Economics, University College Dublin

Abstract: In any dataset with individual forecasts of economic variables, some forecasters will perform better than others. However, it is possible that these ex post differences reflect sampling variation and thus overstate the ex ante differences between forecasters. In this paper, we present a simple test of the null hypothesis that all forecasters in the US Survey of Professional Forecasters have equal ability. We construct a test statistic that reflects both the relative and absolute performance of the forecaster and use bootstrap techniques to compare the empirical results with the equivalents obtained under the null hypothesis of equal forecaster ability. Results suggests limited evidence for the idea that the best forecasters are actually innately better than others, though there is evidence that a relatively small group of forecasters perform very poorly.

Keywords: Forecasting; Bootstrap; Economic forecasting--Evaluation; Bootstrap (Statistics) (search for similar items in EconPapers)
JEL-codes: C53 E27 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
Date: 2010-04
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Downloads: (external link)
http://hdl.handle.net/10197/2645 First version, 2010 (application/pdf)

Related works:
Journal Article: Are Some Forecasters Really Better Than Others? (2012) Downloads
Working Paper: Are some forecasters really better than others? (2011) Downloads
Working Paper: Are Some Forecasters Really Better Than Others? (2010) Downloads
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