Forecaster Efficiency, Accuracy, and Disagreement: Evidence Using Individual-Level Survey Data

Theories of expectations formation sometimes suppose that agents make efficient forecasts given their information sets. We use individual-level data to test whether survey respondents' forecasts are efficient. We assess whether there are systematic differences between forecasters in terms of their degrees of contrarianism, and the accuracy of their forecasts, and whether these are explicable by inefficiencies in the use of information. We find that forecaster inefficiency cannot explain persistence in levels of disagreement across forecasters, but there is evidence that the inefficient use of information is responsible for persistent differences in accuracy across forecasters.