An Empirical Evaluation of Measures for Consensus Forecasting

• Main Authors: Wang, Yi-Wen, 王怡文
• Other Authors: Chou, Ray Yeu-Tien
• Format: Others
• Language: en_US
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/04075503789101286740

碩士 === 國立交通大學 === 經營管理研究所 === 98 === We use the mean, median, trimmed mean and Winsorized mean in this study to investigate which method is easy to use and understand in consensus forecast. The data which we employ from Consensus Economics, Inc. are monthly real GDP, inflation and unemployment rate of seven countries (Taiwan, China, Japan, the United States of America, United Kingdom, France and Germany). We use them to state the forecast bias and accuracy during the period 1995 to 2008 and then to compare which method is better in recession and non-recession years. We find that: First of all, two simple robust methods, trimmed and Winsorized means, are slightly more accurate than other methods. Secondly, no matter what the median, trimmed mean and Winsorized mean are more accurate than the value of mean. Thirdly, in the recession years, the methods of trimmed and the Winsorized means are not different significantly.