The Accuracy and Efficiency of the Consensus Forecasts: A Further Application and Extension of the Pooled Approach

33 Pages Posted: 22 Oct 2007 Last revised: 26 Aug 2008

See all articles by Philipp Ager

Philipp Ager

Universitat Pompeu Fabra

Marcus Kappler

Center for European Economic Research (ZEW)

Steffen Osterloh

Center for European Economic Research (ZEW)

Date Written: 2007

Abstract

In this paper we analyze the macroeconomic forecasts of the Consensus Forecasts for 12 countries over the period from 1996 to 2006 regarding bias and information efficiency. A pooled approach is employed which permits the evaluation of all forecasts for each target variable over 24 horizons simultaneously. It is shown how the pooled approach needs to be adjusted in order to accommodate the forecasting scheme of the Consensus Forecasts. Furthermore, the pooled approach is extended by a sequential test with the purpose of detecting the critical horizon after which the forecast should be regarded as biased. Moreover, heteroscedasticity in the form of year-specific variances of macroeconomic shocks is taken into account. The results show that in the analyzed period which was characterized by pronounced macroeconomic shocks, several countries show biased forecasts, especially with forecasts covering more than 12 months. In addition, information efficiency has to be rejected in almost all cases.

Keywords: business cycle forecasting, forecast evaluation, Consensus Forecasts

JEL Classification: C 52, E 32, E 37

Suggested Citation

Ager, Philipp and Kappler, Marcus and Osterloh, Steffen, The Accuracy and Efficiency of the Consensus Forecasts: A Further Application and Extension of the Pooled Approach (2007). ZEW - Centre for European Economic Research Discussion Paper No. 07-058, Available at SSRN: https://ssrn.com/abstract=1023543 or http://dx.doi.org/10.2139/ssrn.1023543

Philipp Ager

Universitat Pompeu Fabra

Ramon Trias Fargas, 25-27
Barcelona, E-08005
Spain

Marcus Kappler (Contact Author)

Center for European Economic Research (ZEW) ( email )

P.O. Box 10 34 43
L 7,1 D-68161 Mannheim
Germany
+49 621 1235 157 (Phone)
+49 621 1235 223 (Fax)

Steffen Osterloh

Center for European Economic Research (ZEW) ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

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