In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that have been proposed in the literature for modelling exchange rates and GNP, among other variables. We take each of the empirical SETAR models in...

Survey respondents who make point predictions and histogram forecasts of macrovariables reveal both how uncertain they believe the future to be, ex ante, as well as their ex post performance. Macroeconomic forecasters tend to be overconfident at horizons of a year or more, but over-estimate the...

Although many macroeconomic series such as US real output growth are sampled quarterly, many potentially useful predictors are observed at a higher frequency. We look at whether a recently developed mixed data-frequency sampling (MIDAS) approach can improve forecasts of output growth and...

We consider whether survey respondents’probability distributions, reported as histograms, provide reliable and coherent point predictions, when viewed through the lens of a Bayesian learning model, and whether they are well calibrated more generally. We argue that a role remains for eliciting...

We present a novel approach to assessing the attentiveness of professional forecasters to news about the macroeconomy. We find evidence that professional forecasters, taken as a group, do not always update their estimates of the current state of the economy to re‡ect the latest releases of...

We consider tests of forecast encompassing for probability forecasts, for both quadratic and logarithmic scoring rules. We propose test statistics for the null of forecast encompassing, present the limiting distributions of the test statistics, and investigate the impact of estimating the...

We ask whether the different types of forecasts made by individual survey respondents are mutually consistent, using the SPF survey data. We compare the point forecasts and central tendencies of probability distributions matched by individual respondent, and compare the forecast probabilities of...

Changes in educational participation rates across cohorts are likely to imply changes in the ability-education relationship and thereby to impact on estimated returns to education. We show that skewness in the underlying ability distribution is a key determinant of the impact of graduate...

An increase over time in the proportion of young people obtaining a degree is likely to impact on the relative ability compositions (i) of graduates and non-graduates and (ii) across graduates with different classes of degree award. In a signalling framework, we examine the implications of this...

We exploit a rich administrative panel data-set for cohorts of Economics students at a UK university in order to identify causal effects of class absence on student performance. We exploit the panel properties of the data to control for unobserved heterogeneity across students and hence for...