Evaluating Wall Street Journal Survey Forecasters: A Multivariate Approach

Abstract:     
This paper proposes a methodology for assessing the joint performance of multivariate forecasts of economic variables. The methodology is illustrated by comparing the rankings of forecasters by the Wall Street Journal with the authors' alternative rankings. The results show that the methodology can provide useful insights as to the certainty of forecasts as well as the extent to which various forecasts are similar or different.

Number of Pages in PDF File: 24

Keywords: Wall Street Journal, joint forecast, probability, ranking, correlation, variance, multivariate assessment

JEL Classification: C53

working papers series