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Atlanta Fed Working Papers


Evaluating Wall Street Journal Survey Forecasters: A Multivariate Approach

Robert Eisenbeis, Daniel Waggoner, and Tao Zha
Working Paper 2002-8a
July 2002

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This paper proposes a methodology for assessing the joint performance of multivariate forecasts of economic variables. The methodology is illustrated by comparing the rankings of forecasters by the Wall Street Journal with the authors' alternative rankings. The results show that the methodology can provide useful insights as to the certainty of forecasts as well as the extent to which various forecasts are similar or different.

JEL classification: C53

Key words: Wall Street Journal, joint forecast, probability, ranking, correlation, variance, multivariate assessment


Bevin Janci provided invaluable research assistance in gathering and organizing the data used in this article. The views expressed here are the authors' and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. Any remaining errors are the authors' responsibility.

Please address questions regarding content to Robert Eisenbeis, senior vice president and director of research, Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree Street, N.E., Atlanta, Georgia 30309-4470, 404-498-8824, 404-498-8956 (fax), robert.a.eisenbeis@atl.frb.org; Daniel Waggoner, research economist, Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree Street, N.E., Atlanta, Georgia 30309-4470, 404-498-8278, 404-498-8810 (fax), daniel.f.waggoner@atl.frb.org; or Tao Zha, assistant vice president, Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree Street, N.E., Atlanta, Georgia 30309-4470, 404-498-8353, 404-498-8956 (fax), tao.zha@atl.frb.org.

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