Evaluating Combined Non-Replicable Forecasts
AbstractMacroeconomic 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 an expert’s touch, is non-replicable and is typically biased. In this paper we propose a methodology to analyze the qualities of combined 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 a measurement error. An empirical example to forecast economic fundamentals for Taiwan shows the relevance of the methodological approach.
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Bibliographic InfoPaper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 10/74.
Length: 29 pages
Date of creation: 01 Dec 2010
Date of revision:
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Combined forecasts; efficient estimation; generated regressors; replicable forecasts; non-replicable forecasts; expert’s intuition;
Other versions of this item:
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "Evaluating Combined Non-Replicable Forecasts," KIER Working Papers 744, Kyoto University, Institute of Economic Research.
- Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J., 2010. "Evaluating Combined Non-Replicable Forecast," Econometric Institute Research Papers EI 2010-74, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-18 (All new papers)
- NEP-CBA-2010-12-18 (Central Banking)
- NEP-ECM-2010-12-18 (Econometrics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2009.
"How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan,"
CIRJE-F-637, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2011. "How accurate are government forecasts of economic fundamentals? The case of Taiwan," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1066-1075, October.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," KIER Working Papers 720, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," Working Papers in Economics 10/16, University of Canterbury, Department of Economics and Finance.
- Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2009.
"Expert opinion versus expertise in forecasting,"
Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 334-346.
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