This paper presents evidence, using data from Consensus Forecasts, that there is an "attraction" to conform to the mean forecasts; in other words, views expressed by other forecasters in the previous period influence individuals' current forecast. The paper then discusses--and provides further...

This paper presents evidence, using data from Consensus Forecasts, that there is an 'attraction' to conform to the mean forecasts; in other words, views expressed by other forecasters in the previous period influence individuals' current forecast. The paper then discusses-and provides further...

We analyze the properties of multiperiod forecasts which are formulated by a number of companies for a fixed horizon ahead which moves each month one period closer and are collected and diffused each month by some polling agency. Some descriptive evidence and a formal model suggest that knowing...

Building large models, with little dynamics, was long considered to be an alternative to small dimensional time series models involving many lags. The advantages of one modelling methodology are compared to others; such as the size of the model, the use of economic theory, and simultaneity in...

A spurious regression occurs when a pair of independent series, but with strong temporal properties, are found apparently to be related according to standard inference in an OLS regression. Although this is well known to occur with pairs of independent unit root processes, this paper finds...

We analyze the properties of multiperiod forecasts which are formulated by a number of companies for a fixed horizon ahead which moves each month one period closer and are collected and diffused each month by some polling agency. Some descriptive evidence and a formal model suggest that knowing...

The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The...

The cost functions used to form forecasts in practice may be quite different than the squared costs that is often assumed in forecast theory. The impact on evaluation procedures is determined and simple properties for the derivate of the cost function of the errors are found to provide simple...