Chang, Chia-Lin and Franses, Philip Hans and McAleer, Michael (2011) Evaluating Individual and Mean Non-Replicable Forecasts. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 15, 2011, ] (Unpublished)
Available under License Creative Commons Attribution Non-commercial.
Official URL: http://eprints.ucm.es/12746/
Macroeconomic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates expert intuition, is non-replicable and is typically biased. In this paper we propose a methodology to analyze the qualities of individual and means of non-replicable forecasts. One part of the methodology seeks to retrieve a replicable component from the non-replicable forecasts, and compares this component against the actual data. A second part modifies the estimation routine due to the assumption that the difference between a replicable and a non-replicable forecast involves measurement error. An empirical example to forecast economic fundamentals for Taiwan shows the relevance of the methodological approach using both individuals and mean forecasts.
|Item Type:||Working Paper or Technical Report|
JEL Classifications: C53, C22, E27, E37.
|Uncontrolled Keywords:||Individual forecasts, Mean forecasts, Efficient estimation, Generated regressors, Replicable forecasts, Non-replicable forecasts, Expert intuition.|
|Subjects:||Social sciences > Economics > Econometrics|
Social sciences > Economics > Macroeconomics
|Series Name:||Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)|
Chang, C.-L., P.H. Franses and M. McAleer (2009), How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan, International Journal of Forecasting, to appear. Available at SSRN: http://ssrn.com/abstract=1431007.
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|Deposited On:||19 May 2011 08:45|
|Last Modified:||14 Mar 2014 08:40|
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