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Evaluating heterogeneous forecasts for vintages of macroeconomic variables

Author

Listed:
  • Philip Hans Franses
  • Max Welz
Abstract
There are various reasons why professional forecasters may disagree in their quotes for macroeconomic variables. One reason is that they target at different vintages of the data. We propose a novel method to test forecast bias in case of such unobserved heterogeneity. The method is based on so‐called symbolic regression, where the variables of interest become interval variables. We associate the interval containing the vintages of data with the intervals of the forecasts. An illustration to 18 years of forecasts for annual US real GDP growth, given by the Consensus Economics forecasters, shows the relevance of the method.

Suggested Citation

  • Philip Hans Franses & Max Welz, 2022. "Evaluating heterogeneous forecasts for vintages of macroeconomic variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 829-839, July.
    • Handle: RePEc:wly:jforec:v:41:y:2022:i:4:p:829-839
    DOI: 10.1002/for.2835
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    References listed on IDEAS

    as
    1. Clements, Michael P., 2010. "Explanations of the inconsistencies in survey respondents' forecasts," European Economic Review, Elsevier, vol. 54(4), pages 536-549, May.
    2. Carlos Capistr¡N & Allan Timmermann, 2009. "Disagreement and Biases in Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 365-396, March.
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    8. Rianne Legerstee & Philip Hans Franses, 2015. "Does Disagreement Amongst Forecasters Have Predictive Value?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(4), pages 290-302, July.
    9. Franses,Philip Hans, 2014. "Expert Adjustments of Model Forecasts," Cambridge Books, Cambridge University Press, number 9781107081598, September.
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    More about this item

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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