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.