Analysis of a Panel of UK Macroeconomic Forecasts

We report an exploratory analysis of an interesting and important type of forecast data set. As is common for macroeconomic variables, forecasts from a large panel are available for annual macroeconomic aggregates. Although only a few years of accumulated experience are at hand, the data set is enriched by the presence of month-to-month revisions, over a period of 24 months, of forecasts for each predicted annual outcome. We analyse the evolution of summary cross-section statistics, and most notably we find excess smoothness to be displayed in the consensus (mean) forecast. This observation is confirmed by a test for forecast efficiency. The relationship between forecaster variability and forecast errors is also examined