We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...

We reformulate the Nordhaus test as a friction model where the large number of zero revisions are treated as censored, i.e., unknown values inside a small region of "imperceptibility." Using Blue Chip individual forecasts of U.S. real GDP growth, inflation, and unemployment over 1985-2020, we...

Macroeconomic expectations of various economic agents are characterized by substantial cross-sectional heterogeneity. In this paper, we focus on expectations heterogeneity among professional forecasters. We first present stylized facts and discuss theoretical explanations for heterogeneous...

We have argued that from the standpoint of a policy maker who has access to a number of expert forecasts, the uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a standard factor decomposition of a panel of forecasts, we...