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Giampiero M.Gallo is Professor of Econometrics at the University of Firenze, Italy; Clive W.J.Granger is Professor of Economics at the University of California, San Diego; and Yongil Jeon is Assistant Professor of Economics at Central Michigan University in Mount Pleasant, Michigan. Thanks are due to Frank Diebold and to Prakash Loungani for insightful comments on the paper. W e are grateful to Deutsche Bank Research for providing the Consensus Forecast dataset used here. The U.S. macroeconomic data were collated from Economic Indicators Bulletin of the Council of Economic Advisers. The Japanese G D P growth data were kindly provided by Yuki Hirai from the Japanese Economic Planning Agency and Iichiro Uesugi. The preliminary data for the U.K. were collected by G. Colicigno from the Economic Records of H.M. Central Statistical Office. We also thank B.Paye for useful discussions. Financial support from NSF grant SER-9708615 and from the Italian MURST and CNR is appreciated.
Every month, a company established in the U. K., Consensus Economics Inc. (http://www.consensusecon. com/index.htm), conducts a poll among financial and economic forecasters in more than 70 countries surveying their estimates of a range of economic variables.
Other macroeconomic variables show similar behavior. The related figures are omitted for the sake of brevity and are available at http://weber.ucsd.edu/~yjeon or upon request.
Frank Diebold correctly pointed out to us that some readers may “legitimately worry about data snooping biases.” We do indeed peek at the figures and try and rationalize the behavior via our simple model. Due to the limits of the data available we are not able to perform a full-fledged analysis of the potential biases in the inference procedure.
GDP is available also at quarterly intervals, but the insertion of the information available at subannual intervals did not produce any fundamentally different results, as data uncertainty extends also to the seasonal adjustment procedure.
Recall that each month there may be a different number of firms reporting (hence Nj) the forecast for the year T.
Other measures were inserted such as the group variance or the highest-lowest range but lead to worse results in terms of overall explanatory power.
This should serve as an illustration of the points made here; similar cases can be made for the U.K. and Japan, but would not add substantial arguments.
The median of the group does not differ from the mean by much.