To Aggregate, Pool, or Neither
指出，即使所有预测者都是理性的，使用共识预测进行无偏性检验也不一致，而合并估计量同样不一致。只有在微观同质性条件下，共识和合并估计量才一致。基于专业预测者调查数据，拒绝了微观同质性，因此无偏性只能在个体层面检验。
It is well known that, even if all forecasters are rational, unbiasedness tests using consensus forecasts are inconsistent because forecasters have private information. However, if all forecasters face a common realization, pooled estimators are also inconsistent. In contrast, we show that when predictions and realizations are integrated and cointegrated, microhomogeneity ensures that consensus and pooled estimators are consistent. Therefore, contrary to claims in the literature, in the absence of microhomogeneity, pooling is not a solution to the aggregation problem. We reject microhomogeneity for a number of forecasts from the Survey of Professional Forecasters. Therefore, for these variables unbiasedness can only be tested at the individual level.