Antonello D’Agostinois at the European Central Bank (E-mail:firstname.lastname@example.org). Kieran McQuinnis at the Central Bank and Financial Services Authority of Ireland–Financial Stability Division (E-mail:email@example.com). Karl Whelanis at the Department of Economics, University College Dublin (E-mail:firstname.lastname@example.org).
Are Some Forecasters Really Better Than Others?
Version of Record online: 22 MAY 2012
© 2012 The Ohio State University
Journal of Money, Credit and Banking
Volume 44, Issue 4, pages 715–732, June 2012
How to Cite
D’AGOSTINO, A., MCQUINN, K. and WHELAN, K. (2012), Are Some Forecasters Really Better Than Others?. Journal of Money, Credit and Banking, 44: 715–732. doi: 10.1111/j.1538-4616.2012.00507.x
- Issue online: 22 MAY 2012
- Version of Record online: 22 MAY 2012
- Received May 5, 2010; and accepted in revised form August 25, 2011.
In any data set 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 U.S. 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 suggest little support 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.