This paper shows entropic tilting to be a flexible and powerful tool for combining mediumterm forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting systematically improves the accuracy of both point and density forecasts, and tilting the BVAR forecasts based on nowcast means and variances yields slightly greater gains in densit...

The growth rates of real output and real investment are two macroeconomic time series which are particularly difficult to forecast. This paper considers the application of diffusion index forecasting models to this problem. We begin by characterizing the performance of standard forecasts, via recently-introduced measures of predictability and the forecast content, noting the maximum horizon at ...

This paper proposes and analyses the Kullback-Leibler Information Criterion (KLIC) as a unified statistical tool to evaluate, compare and combine density forecasts. Use of the KLIC is particularly attractive, as well as operationally convenient, given its equivalence with the widely used Berkowitz Likelihood Ratio test for the evaluation of individual density forecasts that exploits the probabi...

Despite their importance, forecasts of real economic activity can be unreliable. Forecasts based on macroeconomic models are often hindered by the lack of timely and accurate data and the complexity of the forecasting model. These difficulties have led to a growing interest in using financial variables to supplement traditional model-based forecasts of real economic activity. The advantages of ...

In the presence of principal-agent problems, published macroeconomic forecasts by professional economists may not measure expectations. Forecasters may use their forecasts in order to manipulate beliefs about their ability. I test a cross-sectional implication of models of reputation and information-revelation. I find that as forecasters become older and more established, they produce more radi...

Security analysts generally provide forecasts of earnings for the current period as well as oneyear ahead earnings at fiscal year end. In this study, we derive an estimation procedure, which infers forecast bias from equivalent price expressions that utilize different horizon earnings forecasts. It is well documented that analyst long-horizon earnings forecasts tend to be more optimistic (ex po...

In important conflicts such as wars and labor-management disputes, people typically rely on the judgment of experts to predict the decisions that will be made. We compared the accuracy of 106 forecasts by experts and 169 forecasts by novices about eight real conflicts. The forecasts of experts who used their unaided judgment were little better than those of novices. Moreover, neither group’s fo...

Using forecasts from Consensus Economics Inc., we provide evidence on the efficiency of real GDP growth forecasts by testing if forecast revisions are uncorrelated. As the forecast data used are multi-dimensional—18 countries, 24 monthly forecasts for the current and the following year and 16 target years—the panel estimation takes into account the complex structure of the variance covariance m...

In this paper we provide necessary and sufficient conditions for the distribution of demand in the future to be stochastically increasing in the demand that has been observed in the past. We base our analysis on the multiperiod inventory model examined by Eppen and Iyer (1997). In the process of establishing the necessary and sufficient conditions we develop a new property called the sequential...