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Are Some Forecasters Really Better Than Others?

Author

Listed:
  • D'Agostino, Antonello

    (Central Bank and Financial Services Authority of Ireland)

  • McQuinn, Kieran

    (Central Bank and Financial Services Authority of Ireland)

  • Whelan, Karl

    (University College Dublin)

Abstract
In any dataset with individual forecasts of economic variables, some forecasters will perform better than others. However, it is possible that these ex post differences reflect sampling variation and thus overstate the ex ante differences between forecasters. In this paper, we present a simple test of the null hypothesis that all forecasters in the US Survey of Professional Forecasters have equal ability. We construct a test statistic that reflects both the relative and absolute performance of the forecaster and use bootstrap techniques to compare the empirical results with the equivalents obtained under the null hypothesis of equal forecaster ability. Results suggests limited evidence for the idea that the best forecasters are actually innately better than others, though there is evidence that a relatively small group of forecasters perform very poorly.

Suggested Citation

  • D'Agostino, Antonello & McQuinn, Kieran & Whelan, Karl, 2010. "Are Some Forecasters Really Better Than Others?," Research Technical Papers 5/RT/10, Central Bank of Ireland.
    • Handle: RePEc:cbi:wpaper:5/rt/10
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    File URL: https://centralbank.ie/docs/default-source/publications/research-technical-papers/research-technical-paper-5rt10.pdf?sfvrsn=10
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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