Evaluating Heterogeneous Forecasts for Vintages of Macroeconomic Variables

Philip Hans Franses; Max Welz

doi:10.1002/for.2835

Evaluating Heterogeneous Forecasts for Vintages of Macroeconomic Variables

Philip Hans Franses, Max Welz

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Abstract

There are various reasons why professional forecasters may disagree in their quotes for macroeconomic variables. One reason is that they target at different vintages of the data. We propose a novel method to test forecast bias in case of such unobserved heterogeneity. The method is based on so-called symbolic regression, where the variables of interest become interval variables. We associate the interval containing the vintages of data with the intervals of the forecasts. An illustration to 18 years of forecasts for annual US real GDP growth, given by the Consensus Economics forecasters, shows the relevance of the method.

Original language	English
Pages (from-to)	829-839
Number of pages	11
Journal	Journal of Forecasting
Volume	41
Issue number	4
Early online date	2 Dec 2021
DOIs	https://doi.org/10.1002/for.2835
Publication status	Published - Jul 2022

Bibliographical note

JEL Code: C53

Funding Information:
We thank two anonymous reviewers for their detailed and helpful comments.

Publisher Copyright:
© 2021 The Authors. Journal of Forecasting published by John Wiley & Sons Ltd.

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for.2835Accepted author manuscript, 807 KBLicence: CC BY

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Evaluating Heterogeneous Forecasts for Vintages of Macroeconomic Variables

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