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Conservatism and consensus‐seeking among economic forecasters
Author(s) -
Batchelor Roy,
Dua Pami
Publication year - 1992
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.3980110207
Subject(s) - conservatism , heteroscedasticity , consensus forecast , econometrics , estimator , economics , survey of professional forecasters , variety (cybernetics) , panel data , statistics , mathematics , monetary policy , political science , monetary economics , politics , law
This paper uses the track records of a panel of US economic forecasters participating in a consensus forecasting service to test for conservatism and consensus‐seeking behaviour. The tests are based on a particular method‐of‐moments estimator, designed to allow for the heteroscedasticity and serial correlation which is inevitably present in errors from repeated forecasts for fixed target dates. Most forecasters prove to be conservative. When revising forecasts they give too much weight to their own past forecasts. Surprisingly, forecasters are not consensus‐seeking but ‘variety‐seeking’. When revising forecasts, they give too little weight to the known forecasts of other forecasters.