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Evaluating heterogeneous forecasts for vintages of macroeconomic variables
Author(s) -
Franses Philip Hans,
Welz Max
Publication year - 2022
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.2835
Subject(s) - econometrics , relevance (law) , consensus forecast , survey of professional forecasters , interval (graph theory) , regression , economics , interval data , real gross domestic product , computer science , statistics , monetary policy , mathematics , macroeconomics , measure (data warehouse) , data mining , combinatorics , political science , law
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.