This paper assesses to what extent forecasters make effcient use of competitors' forecasts. Usinga panel of forecasters, I find that forecasters underuse information from their competitors in their forecasts for current and next year's annual GDP growth and inflation. The results also show that...

I show that the probability that the Board of Governors of the Federal Reserve System staff's forecasts (the "Greenbooks'") overpredicted quarterly real gross domestic product (GDP) growth depends on both the forecast horizon and also whether the forecasted quarter was above or below trend real...

Many empirical studies have shown that factor models produce relatively accurate forecasts compared to alternative short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and different forecast horizons. However, various specifications...

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision-Recall Curve (PRC) both analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in ROC and inverted precision in PRC are...

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...

In this paper, we explore machine learning (ML) methods to improve inflation forecasting in Brazil. An extensive out-of-sample forecasting exercise is designed with multiple horizons, a large database of 501 series, and 50 forecasting methods, including new ML techniques proposed here,...