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Disagreement, Uncertainty and the True Predictive Density

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  • Fabian Krüger

    () (Department of Economics, University of Konstanz, Germany)

  • Ingmar Nolte

    () (Warwick Business School, Financial Econometrics Research Centre (FERC), University of Warwick)

Abstract

This paper generalizes the discussion about disagreement versus uncertainty in macroeconomic survey data by emphasizing the importance of the (unknown) true predictive density. Using a forecast combination approach, we ask whether cross sections of survey point forecasts help to approximate the true predictive density. We find that although these cross-sections perform poorly individually, their inclusion into combined predictive densities can significantly improve upon densities relying solely on time series information.

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Bibliographic Info

Paper provided by Department of Economics, University of Konstanz in its series Working Paper Series of the Department of Economics, University of Konstanz with number 2011-43.

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Length: 27 pages
Date of creation: 01 Sep 2011
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Handle: RePEc:knz:dpteco:1143

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Related research

Keywords: Disagreement; Uncertainty; Predictive Density; Forecast Combination;

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  1. Christian Kascha & Francesco Ravazzolo, 2008. "Combining inflation density forecasts," Working Paper 2008/22, Norges Bank.
  2. Kajal Lahiri & Xuguang Sheng, 2008. "Measuring Forecast Uncertainty by Disagreement: The Missing Link," Ifo Working Paper Series Ifo Working Paper No. 60, Ifo Institute for Economic Research at the University of Munich.
  3. Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2010. "Combining forecast densities from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 621-634.
  4. Timmermann, Allan G, 2005. "Forecast Combinations," CEPR Discussion Papers 5361, C.E.P.R. Discussion Papers.
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