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Evaluating a three-dimensional panel of point forecasts: The Bank of England Survey of External Forecasters
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Boero, Gianna , Smith, Jeremy (Jeremy P.) and Wallis, Kenneth Frank (2008) Evaluating a three-dimensional panel of point forecasts: The Bank of England Survey of External Forecasters. In: Annual Meeting of the Royal-Economic-Society, Univ Warwick, Coventry, England, Apr 11, 2007. Published in: International Journal of Forecasting, Vol.24 (No.3). pp. 354-367.
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Official URL: http://dx.doi.org/10.1016/j.ijforecast.2008.04.003
Abstract
This article provides a first analysis of the forecasts of inflation and GDP growth obtained from the Bank of England's Survey of External Forecasters, considering both the survey average forecasts published in the quarterly Inflation Report, and the individual survey responses, recently made available by the Bank. These comprise a conventional incomplete panel dataset, with in additional dimension arising from the collection of forecasts at several horizons; both point forecasts and density forecasts are collected. The inflation forecasts show good performance in tests of unbiasedness and efficiency, albeit over a relatively calm period for the UK economy, and there is considerable individual heterogeneity. For GDP growth, inaccurate real-time data and their subsequent revisions are seen to cause serious difficulties for construction and evaluation, although the forecasts are again unbiased. There is evidence that some forecasters have asymmetric loss functions. (C) 2008 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
| Item Type: | Conference Item (UNSPECIFIED) |
|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Divisions: | Faculty of Social Sciences > Economics |
| Journal or Publication Title: | International Journal of Forecasting |
| Publisher: | Elsevier |
| ISSN: | 0169-2070 |
| Date: | July 2008 |
| Volume: | Vol.24 |
| Number: | No.3 |
| Number of Pages: | 14 |
| Page Range: | pp. 354-367 |
| Identification Number: | 10.1016/j.ijforecast.2008.04.003 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Restricted or Subscription Access |
| Title of Event: | Annual Meeting of the Royal-Economic-Society |
| Type of Event: | Conference |
| Location of Event: | Univ Warwick, Coventry, England |
| Date(s) of Event: | Apr 11, 2007 |
| URI: | http://wrap.warwick.ac.uk/id/eprint/29227 |
Data sourced from Thomson Reuters' Web of Knowledge
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