Page 142 - Contributed Paper Session (CPS) - Volume 5

CPS1159 Philip Hans Franses et al.

Evaluating heterogeneous forecasts for vintages
of macroeconomic variables
Philip Hans Franses, Max Welz
Econometric Institute, Erasmus School of Economics

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 heterogeneity. The method is based on 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 USA real GDP
growth, given by the Consensus Economics forecasters, shows the relevance
of the method.

Keywords
Forecast bias; Data revisions; Interval data; Symbolic regression
JEL Code: C53

Introduction and motivation
This paper is all about the well-known Mincer Zarnowitz (1969)(MZ)
auxiliary regression, which is often used to examine (the absence of) bias in
forecasts. This regression, in general terms, reads as

= + +
0
1

Usually, the statistical test of interest concerns, = 0 and = 1, jointly.
1
0
The setting in this paper concerns macroeconomic variables. For many such
variables it holds that these experience revisions. For variables like real Gross
Domestic Growth (GDP), after the first release, there can be at least five
revisions for various OECD countries .
1
The second feature of our setting is that forecasts are often created by a
range of professional forecasters. In the present paper for example we will
consider the forecasters collected in Consensus Economics .
2

1 http://www.oecd.org/sdd/na/revisions-of-quarterly-gdp-in-selected-oecd-countries.htm
2 http://www.consensuseconomics.com/. Other professional forecasters’ quotes can be found
in the Survey of Professional Forecasters: https://www.philadelphiafed.org/research-and-
data/real-time-center/real-time-data/data-files/routput

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