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Bayesian consensus forecasts of macroeconomic variables
Author(s) -
Agnew Carson E.
Publication year - 1985
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.3980040405
Subject(s) - consensus forecast , weighting , econometrics , bayesian probability , range (aeronautics) , economics , bayesian inference , sample (material) , statistics , mathematics , medicine , materials science , chemistry , chromatography , composite material , radiology
Abstract Economists, like other forecasters, share knowledge, data and theories in common. Consequently, their forecast errors are likely to be highly dependent. This paper reports on an empirical study of 16 macroeconomic forecasters. Composite forecasts are computed using a sequential weighting scheme that takes dependence into account; these are compared to a simple average and median forecasts. A within‐sample composite is also calculated. Both these methods perform significantly better than the average or median of the forecasts. This improvement in accuracy is apparently because the dependence between the forecasters' errors is so high that the optimal composite forecasts sometimes lie outside the range of the individual forecasts.