Chang, Chia-Lin and Franses, Philip Hans and McAleer, Michael (2011) Evaluating Individual and Mean Non-Replicable Forecasts. [Working Paper or Technical Report] (Unpublished)
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Official URL: http://eprints.ucm.es/12746/
Abstract
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 |
|---|---|
| Additional Information: | 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 |
| Volume: | 2011 |
| Number: | 15 |
| ID Code: | 12746 |
| References: | 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. |
| Deposited On: | 19 May 2011 10:45 |
| Last Modified: | 19 May 2011 10:45 |
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