Evaluating Wall Street Journal Survey Forecasters: A Multivariate Approach

FRB of Atlanta Working Paper No. 2002-8

24 Pages Posted: 17 Aug 2002  

Robert Eisenbeis Eisenbeis

Independent

Daniel F. Waggoner

Federal Reserve Bank of Atlanta

Tao A. Zha

Federal Reserve Bank of Atlanta

Date Written: June 2002

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.

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

JEL Classification: C53

Suggested Citation

Eisenbeis, Robert Eisenbeis and Waggoner, Daniel F. and Zha, Tao A., Evaluating Wall Street Journal Survey Forecasters: A Multivariate Approach (June 2002). FRB of Atlanta Working Paper No. 2002-8. Available at SSRN: https://ssrn.com/abstract=316321 or http://dx.doi.org/10.2139/ssrn.316321

Robert Eisenbeis Eisenbeis (Contact Author)

Independent ( email )

No Address Available

Daniel F. Waggoner

Federal Reserve Bank of Atlanta ( email )

1000 Peachtree Street N.E.
Atlanta, GA 30309-4470
United States
404-521-8278 (Phone)
404-521-8810 (Fax)

Tao A. Zha

Federal Reserve Bank of Atlanta ( email )

1000 Peachtree Street N.E.
Atlanta, GA 30309-4470
United States
404-521-8353 (Phone)
404-521-8956 (Fax)

Paper statistics

Downloads
144
Rank
162,604
Abstract Views
1,114