Universidad Complutense de Madrid
E-Prints Complutense

Evaluating Individual and Mean Non-Replicable Forecasts

Impacto

Downloads

Downloads per month over past year



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 [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 15, 2011, ] (Unpublished)

[img]
Preview
PDF
Creative Commons Attribution Non-commercial.

573kB

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


URLURL Type
https://www.ucm.es/icaeOrganisation


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
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
JEL:C53, C22, E27, E37
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2011
Number:15
ID Code:12746
Deposited On:19 May 2011 08:45
Last Modified:17 Jun 2016 08:50

Origin of downloads

Repository Staff Only: item control page