全球智库信息集成服务系统(G2TT): DP14112 Do Any Economists Have Superior Forecasting Skills?

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP14112
	DP14112 Do Any Economists Have Superior Forecasting Skills?
	Ritong Qu; Henry Allan Timmermann; Yinchu Zhu
发表日期	2019-11-12
出版年	2019
语种	英语
摘要	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.
主题	Financial Economics
关键词	Economic forecasting Superior predictive skills Multiple testing Bloomberg survey
URL	https://cepr.org/publications/dp14112
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/543000
推荐引用方式 GB/T 7714	Ritong Qu,Henry Allan Timmermann,Yinchu Zhu. DP14112 Do Any Economists Have Superior Forecasting Skills?. 2019.