Since the forecast error is derived from the same scale of data, comparisons between the forecast errors of different series can only be made when the series are on the same scale.
If we observe this for multiple products for the same period, then this is a cross-sectional performance error.
Other methods include tracking signal and forecast bias.
Dreman and Berry in 1995 "Financial Analysts Journal", argued that securities analysts' forecasts are too optimistic, and that the investment community relies too heavily on their forecasts.
However, this was countered by Lawrence D. Brown in 1996 and then again in 1997 who argued that the analysts are generally more accurate than those of "naive or sophisticated time-series models" nor have the errors been increasing over time.
[4][5] Hiromichi Tamura in 2002 argued that herd-to-consensus analysts not only submit their earnings estimates that end up being close to the consensus but that their personalities strongly affect these estimates.
[6] Michael Fish - A few hours before the Great Storm of 1987 broke, on 15 October 1987, he said during a forecast: "Earlier on today, apparently, a woman rang the BBC and said she heard there was a hurricane on the way.
The storm was the worst to hit South East England for three centuries, causing record damage and killing 19 people.
[7] Great Recession - The financial and economic "Great Recession" that erupted in 2007—arguably the worst since the Great Depression of the 1930s—was not foreseen by most forecasters, though a number of analysts had been predicting it for some time (for example, Brooksley Born, Dean Baker, Marc Faber, Fred Harrison, Raghuram Rajan, Stephen Roach, Nouriel Roubini, Peter Schiff, Gary Shilling, Robert Shiller, William White, and Meredith Whitney).
[8][9][10][11] The UK's Queen Elizabeth herself asked why had “nobody” noticed that the credit crunch was on its way, and a group of economists—experts from business, the City, its regulators, academia, and government—tried to explain in a letter.
[12] It was not just forecasting the Great Recession, but also its impact where it was clear that economists struggled.
[13][14] Similarly, Nouriel Roubini predicted in January 2009 that oil prices would stay below $40 for all of 2009.
[15][16] In March 2009, he predicted the S&P 500 would fall below 600 that year, and possibly plummet to 200.
CNBC's Jim Cramer wrote that Roubini was "intoxicated" with his own "prescience and vision," and should realize that things are better than he predicted; Roubini called Cramer a "buffoon," and told him to "just shut up".
[20][19] In 2009 he also predicted that the US government would take over and nationalize a number of large banks; it did not happen.