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Forecast Uncertainty- Ex Ante and Ex Post : U.S. Inflation and Output Growth

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  • Michael P. Clements

Abstract

Survey respondents who make point predictions and histogram forecasts of macro-variables reveal both how uncertain they believe the future to be, ex ante , as well as their ex post performance. Macroeconomic forecasters tend to be overconfident at horizons of a year or more, but overestimate (i.e., are underconfident regarding) the uncertainty surrounding their predictions at short horizons. Ex ante uncertainty remains at a high level compared to the ex post measure as the forecast horizon shortens. There is little evidence of a link between individuals' ex post forecast accuracy and their ex ante subjective assessments.

Suggested Citation

  • Michael P. Clements, 2014. "Forecast Uncertainty- Ex Ante and Ex Post : U.S. Inflation and Output Growth," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 206-216, April.
  • Handle: RePEc:taf:jnlbes:v:32:y:2014:i:2:p:206-216
    DOI: 10.1080/07350015.2013.859618
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    References listed on IDEAS

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    1. Clements, Michael P. & Hendry, David F. (ed.), 2011. "The Oxford Handbook of Economic Forecasting," OUP Catalogue, Oxford University Press, number 9780195398649, Decembrie.
    2. Castle, Jennifer & Shephard, Neil (ed.), 2009. "The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry," OUP Catalogue, Oxford University Press, number 9780199237197, Decembrie.
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