Do Any Economists Have Superior Forecasting Skills?

72 Pages Posted: 12 Nov 2019

See all articles by Ritong Qu

Ritong Qu

University of California, San Diego (UCSD) - Rady School of Management

Allan Timmermann

University of California, San Diego (UCSD) - Rady School of Management

Yinchu Zhu

University of Oregon

Date Written: October 30, 2019

Abstract

To answer this question, we develop new testing methods for identifying superior forecasting skills in settings with arbitrarily many forecasters, outcome variables, and time periods. Our methods allow us to address if any economists had superior forecasting skills for any variables or at any point in time while carefully controlling for the role of “luck” which can give rise to false discoveries when large numbers of forecasts are evaluated. We propose new hypotheses and test statistics that can be used to identify specialist, generalist, and event-specific skills in forecasting performance. We apply our new methods to a large set of Bloomberg survey forecasts of US economic data show that, overall, there is very little evidence that any individual forecasters can beat a simple equal-weighted average of peer forecasts.

Keywords: Economic forecasting; superior predictive skills; panel data; multiple hypothesis testing; bootstrap; Bloomberg survey

JEL Classification: C23, E47

Suggested Citation

Qu, Ritong and Timmermann, Allan and Zhu, Yinchu, Do Any Economists Have Superior Forecasting Skills? (October 30, 2019). Available at SSRN: https://ssrn.com/abstract=3479463 or http://dx.doi.org/10.2139/ssrn.3479463

Ritong Qu

University of California, San Diego (UCSD) - Rady School of Management ( email )

9500 Gilman Drive
Rady School of Management
La Jolla, CA 92093
United States

Allan Timmermann (Contact Author)

University of California, San Diego (UCSD) - Rady School of Management ( email )

9500 Gilman Drive
Rady School of Management
La Jolla, CA 92093
United States

Yinchu Zhu

University of Oregon ( email )

1280 University of Oregon
Eugene, OR 97403
United States

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