Does more expert adjustment associate with less accurate professional forecasts?

Artikel

Professional forecasters can rely on an econometric model to create their forecasts. It is usually unknown to what extent they adjust an econometric model-based forecast. In this paper we show, while making just two simple assumptions, that it is possible to estimate the persistence and variance of the deviation of their forecasts from forecasts from an econometric model. A key feature of the data that facilitates our estimates is that we have forecast updates for the same forecast target. An illustration to consensus forecasters who give forecasts for GDP growth, inflation and unemployment for a range of countries and years suggests that the more a forecaster deviates from a prediction from an econometric model, the less accurate are the forecasts.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 3 ; Pages: 1-7 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Forecasting Models; Simulation Methods
• Subject: econometric model ; expert adjustment ; forecast accuracy ; professional forecasters

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Franses, Philip Hans ; Welz, Max
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2020

Further information

• DOI: doi:10.3390/jrfm13030044
• Handle: http://hdl.handle.net/10419/239136
• Last update: 10.03.2025, 11:44 AM CET