Discussion Paper Details
Please find the details for DP14112 in an easy to copy and paste format below:
Title: Do Any Economists Have Superior Forecasting Skills?
Author(s): Ritong Qu, Allan Timmermann and Yinchu Zhu
Publication Date: November 2019
Keyword(s): Bloomberg survey, Economic forecasting, multiple testing and superior predictive skills
Programme Area(s): Financial Economics
Abstract: To answer this question, we develop new testing methods for identifying superior forecasting skills in settings with arbitrarily many forecasters, outcome variables, and time periods. Our methods allow us to address if any economists had superior forecasting skills for any variables or at any point in time while carefully controlling for the role of "luck" which can give rise to false discoveries when large numbers of forecasts are evaluated. We propose new hypotheses and test statistics that can be used to identify specialist, generalist, and event-specific skills in forecasting performance. We apply our new methods to a large set of Bloomberg survey forecasts of US economic data show that, overall, there is very little evidence that any individual forecasters can beat a simple equal-weighted average of peer forecasts.
For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=14112
Qu, R, Timmermann, A and Zhu, Y. 2019. 'Do Any Economists Have Superior Forecasting Skills?'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=14112