Sims (2002), reviewing this evidence and confirming the finding, attributes a good deal of the performance improvement to the effort to get a more accurate estimate of the current state of the economy, so reducing the errors in the very early period of the forecast.
In other words, the judgement of specialist data watchers, combined with insights of well-understood models of both the formal and informal variety, works better than any single technique. I find this a plausible conclusion. 7  See Hendry and Clements (2001).