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Evaluating Individual and Mean Non-Replicable Forecasts

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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)

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


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

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