Evaluating probability forecasts for GDP declines using alternative methodologies
AbstractEvaluation methodologies for rare events from meteorology, psychology and medical diagnosis are used to examine the value of probabilistic forecasts of real GDP declines during the current quarter (Q0) and each of the next four quarters (Q1–Q4) using data from the Survey of Professional Forecasters. We study the quality of these probability forecasts in terms of their calibration, resolution and odds ratio, as well as the relative operating characteristic (ROC) and alternative variance decompositions. Only the shorter-term forecasts (Q0–Q2) are found to possess significant skill in terms of all measures considered, even though they are characterized by an excess of variability and a lack of calibration.
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Bibliographic InfoArticle provided by Elsevier in its journal International Journal of Forecasting.
Volume (Year): 29 (2013)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/ijforecast
Binary prediction; Rare events; Survey of professional forecasters; Subjective probability; Calibration; Resolution; Skill score; Relative operating characteristics; Odds ratio; Recession;
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