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Título:
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Evaluating Individual and Mean Non-Replicable Forecasts
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Autores:
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Chang, Chia-Lin ;
Franses, Philip Hans ;
McAleer, Michael
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Tipo de documento:
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texto impreso
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Editorial:
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Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid, 2011-04
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = No publicado
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Materia = Ciencias Sociales: Economía: Econometría
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Materia = Ciencias Sociales: Economía: Macroeconomía
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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Macroeconomic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates expert intuition, is non-replicable and is typically biased. In this paper we propose a methodology to analyze the qualities of individual and means of non-replicable forecasts. One part of the methodology seeks to retrieve a replicable component from the non-replicable forecasts, and compares this component against the actual data. A second part modifies the estimation routine due to the assumption that the difference between a replicable and a non-replicable forecast involves measurement error. An empirical example to forecast economic fundamentals for Taiwan shows the relevance of the methodological approach using both individuals and mean forecasts.
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En línea:
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https://eprints.ucm.es/id/eprint/12746/1/1115.pdf
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