Joint evaluation of the directional accuracy of corporate executives’ forecasts

Abstract

Although most research on directional analysis focused on either increase/ decrease or acceleration/deceleration of variables of interest, we jointly evaluate the two-directional changes in the real GDP predicted by corporate executives. We applied an approach recently developed by Pesaran and Timmermann (2009) in addition to the tests extensively used in the literature. Besides determining that, the forecast is not useful in predicting an increase/decrease and acceleration/deceleration in real GDP, joint evaluation of the forecast illustrates the advantage of the new test. Further, we examine the two data vintages.