I Know What You Did Last Quarter: Economic Forecasts of Professional Forecasters

Abstract: In this paper we have examined data from the Survey of Professional Forecasters. We study nominal GDP, the unemployment rate, the Treasury bill rate and the implicit price deflator beginning with the first quarter of 1992. Forecasts for a single time period appear several times in consecutive forecasts in the survey. We study the revision of forecasts for a fixed points in time. We find that the forecasts were not unbiased, but they were biased in directions one would expect, ex post. There is strong dependence of revisions of expectations on the most recently observed one step forecast errors. For most series, lagged innovations do not enter the regression equations significantly and constant terms are not significantly different from zero. Most forecasters seem to be using information on several series in their forecasts