Biblioteca de la Universidad Complutense de Madrid

Evaluating Individual and Mean Non-Replicable Forecasts

Impacto



Chang, Chia-Lin y Franses, Philip Hans y McAleer, Michael (2011) Evaluating Individual and Mean Non-Replicable Forecasts. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 15, 2011, ] (No publicado)

[img]
Vista previa
PDF
Creative Commons License
Esta obra está bajo una licencia de Creative Commons: Reconocimiento - No comercial.

573kB

URL Oficial: http://eprints.ucm.es/12746/




Resumen

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.


Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Individual forecasts, Mean forecasts, Efficient estimation, Generated regressors, Replicable forecasts, Non-replicable forecasts, Expert intuition.
Materias:Ciencias Sociales > Economía > Econometría
Ciencias Sociales > Economía > Macroeconomía
JEL:C53, C22, E27, E37
Título de serie o colección:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2011
Número:15
Código ID:12746
Referencias:

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.

Eroglu, C. and K.L. Croxton (2010), Biases in Judgmental Adjustments of Statistical Forecasts: The Role of Individual Differences, International Journal of Forecasting, 26, 116-133.

Fildes, R, P. Goodwin, M. Lawrence, and K. Nikolopoulos (2009), Effective Forecasting and Judgemental Adjustments: An Empirical Evaluation and Strategies for Improvement in Supply-Chain Planning, International Journal of Forecasting, 25, 3-23.

Franses, P.H., H. Kranendonk, and D. Lanser (2011), One Model and Various Experts: Evaluating Dutch Macroeconomic Forecasts, International Journal of Forecasting, 27, 482-495.

Franses, P.H. and R. Legerstee (2010), Do Experts’ Adjustments on Model-based SKU-level Forecasts Improve Forecast Quality?, Journal of Forecasting, 29, 331-340.

Franses, P.H., M. McAleer and R. Legerstee (2009), Expert Opinion Versus Expertise in Forecasting, Statistica Neerlandica, 63, 334-346.

Smith, J. and M. McAleer (1994), Newey-West Covariance Matrix Estimates for Models with Generated Regressors, Applied Economics, 26, 635-640.

Depositado:19 May 2011 08:45
Última Modificación:17 Jun 2016 08:50

Sólo personal del repositorio: página de control del artículo