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Disagreement, Uncertainty and the True Predictive Density

  • Fabian Krüger

    ()

    (Department of Economics, University of Konstanz, Germany)

  • Ingmar Nolte

    ()

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

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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File URL: http://www.wiwi.uni-konstanz.de/workingpaperseries/WP_43-Krueger-Nolte-11.pdf
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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
Date of revision:
Handle: RePEc:knz:dpteco:1143
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  1. Pesaran, M.H. & Weale, M., 2005. "Survey Expectations," Cambridge Working Papers in Economics 0536, Faculty of Economics, University of Cambridge.
  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. Laura Coroneo & David Veredas, 2012. "A simple two-component model for the distribution of intraday returns," ULB Institutional Repository 2013/136189, ULB -- Universite Libre de Bruxelles.
  4. Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," Working Papers 2010-04, Banco de México.
  5. John Geweke & Gianni Amisano, 2008. "Optimal Prediction Pools," Working Paper Series 22-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  6. Giordani, Paolo & Soderlind, Paul, 2003. "Inflation forecast uncertainty," European Economic Review, Elsevier, vol. 47(6), pages 1037-1059, December.
  7. Anne-Sofie Jore & James Mitchell & Shaun P. Vahey, 2008. "Combining forecast densities from VARs with uncertain instabilities," Working Paper 2008/01, Norges Bank.
  8. Boero,Gianna & Smith,Jeremy & Wallis,Kenneth F, 2006. "Uncertainty and disagreement in economic prediction : the Bank of England Survey of External Forecasters," The Warwick Economics Research Paper Series (TWERPS) 811, University of Warwick, Department of Economics.
  9. Kenneth F. Wallis, 2005. "Combining Density and Interval Forecasts: A Modest Proposal," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 983-994, December.
  10. Christian Kascha & Francesco Ravazzolo, 2010. "Combining inflation density forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 231-250.
  11. Komunjer, Ivana, 2002. "Quasi-Maximum Likelihood Estimation for Conditional Quantiles," Working Papers 1139, California Institute of Technology, Division of the Humanities and Social Sciences.
  12. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
  13. Jeremy Smith & Kenneth F. Wallis, 2009. "A Simple Explanation of the Forecast Combination Puzzle," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 331-355, 06.
  14. Clements, Michael P. & Harvey, David I., 2011. "Combining probability forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 208-223.
  15. Jose, Victor Richmond R. & Winkler, Robert L., 2008. "Simple robust averages of forecasts: Some empirical results," International Journal of Forecasting, Elsevier, vol. 24(1), pages 163-169.
  16. Nolte, Ingmar & Pohlmeier, Winfried, 2007. "Using forecasts of forecasters to forecast," International Journal of Forecasting, Elsevier, vol. 23(1), pages 15-28.
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