DP14112 Do Any Economists Have Superior Forecasting Skills?

Author(s): Ritong Qu, Allan Timmermann, Yinchu Zhu
Publication Date: November 2019
Keyword(s): Bloomberg survey, Economic forecasting, multiple testing, superior predictive skills
Programme Areas: Financial Economics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=14112

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.