Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71301
Authors: 
D'Agostino, Antonello
McQuinn, Kieran
Whelan, Karl
Year of Publication: 
2010
Series/Report no.: 
Working Paper Series, UCD Centre for Economic Research 10/12
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.
Subjects: 
Forecasting
Bootstrap
JEL: 
C53
E27
E37
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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