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Disagreement, Uncertainty and the True Predictive Density

Author

Listed:
  • 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.

Suggested Citation

  • Fabian Krüger & Ingmar Nolte, 2011. "Disagreement, Uncertainty and the True Predictive Density," Working Paper Series of the Department of Economics, University of Konstanz 2011-43, Department of Economics, University of Konstanz.
    • Handle: RePEc:knz:dpteco:1143
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    File URL: http://www.uni-konstanz.de/FuF/wiwi/workingpaperseries/WP_43-Krueger-Nolte-11.pdf
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods
    • E - Macroeconomics and Monetary Economics
    • F - International Economics

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