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Rounding of probability forecasts : The SPF forecast probabilities of negative output growth

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  • Clements, Michael P.

    (Department of Economics,University of Warwick)

Abstract

We consider the possibility that respondents to the Survey of Professional Forecasters round their probability forecasts of the event that real output will decline in the future. We make various assumptions about how forecasters round their forecasts, including that individuals have constant patterns of responses across forecasts. Our primary interests are the impact of rounding on assessments of the internal consistency of the probability forecasts of a decline in real output and the histograms for annual real output growth, and on the relationship between the probability forecasts and the point forecasts of quarterly output growth.

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Bibliographic Info

Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 869.

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Length: 20 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:wrk:warwec:869

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Keywords: Rounding ; probability forecasts ; probability distributions;

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  1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  2. Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1998. "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 98-15, New York University, Leonard N. Stern School of Business, Department of Economics.
  3. Kajal Lahiri, 2005. "Analysis of Panel Data," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, Agricultural and Applied Economics Association, vol. 87(4), pages 1093-1095.
  4. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 772, University of Warwick, Department of Economics.
  5. Jon Faust & John H. Rogers & Jonathan H. Wright, 2000. "News and noise in G-7 GDP announcements," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 690, Board of Governors of the Federal Reserve System (U.S.).
  6. Giordani, Paolo & Soderlind, Paul, 2003. "Inflation forecast uncertainty," European Economic Review, Elsevier, Elsevier, vol. 47(6), pages 1037-1059, December.
  7. Manski, Charles F. & Molinari, Francesca, 2010. "Rounding Probabilistic Expectations in Surveys," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 28(2), pages 219-231.
  8. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, Elsevier, vol. 105(1), pages 111-130, November.
  9. Joseph Engelberg & Charles F. Manski & Jared Williams, 2006. "Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters," NBER Working Papers 11978, National Bureau of Economic Research, Inc.
  10. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, American Economic Association, vol. 80(4), pages 714-35, September.
  11. Clements, Michael P., 2008. "Consensus and uncertainty: Using forecast probabilities of output declines," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(1), pages 76-86.
  12. Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents'forecasts," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 870, University of Warwick, Department of Economics.
  13. Michael Clements, 2006. "Evaluating the survey of professional forecasters probability distributions of expected inflation based on derived event probability forecasts," Empirical Economics, Springer, Springer, vol. 31(1), pages 49-64, March.
  14. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
  15. Charles F. Manski & Elie Tamer, 2002. "Inference on Regressions with Interval Data on a Regressor or Outcome," Econometrica, Econometric Society, Econometric Society, vol. 70(2), pages 519-546, March.
  16. Bomberger, William A, 1996. "Disagreement as a Measure of Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 28(3), pages 381-92, August.
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