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Evaluating Individual and Mean Non-Replicable Forecasts

dc.contributor.authorChang, Chia-Lin
dc.contributor.authorFranses, Philip Hans
dc.contributor.authorMcAleer, Michael
dc.date.accessioned2023-06-20T09:13:10Z
dc.date.available2023-06-20T09:13:10Z
dc.date.issued2011-04
dc.description.abstractMacroeconomic 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.
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.facultyInstituto Complutense de Análisis Económico (ICAE)
dc.description.refereedFALSE
dc.description.statusunpub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/12746
dc.identifier.relatedurlhttps://www.ucm.es/icae
dc.identifier.urihttps://hdl.handle.net/20.500.14352/49003
dc.issue.number15
dc.language.isoeng
dc.page.total31
dc.publication.placeMadrid
dc.publisherInstituto Complutense de Análisis Económico. Universidad Complutense de Madrid
dc.relation.ispartofseriesDocumentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
dc.rightsAtribución-NoComercial 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttps://creativecommons.org/licenses/by-nc/3.0/es/
dc.subject.jelC53
dc.subject.jelC22
dc.subject.jelE27
dc.subject.jelE37
dc.subject.keywordIndividual forecasts
dc.subject.keywordMean forecasts
dc.subject.keywordEfficient estimation
dc.subject.keywordGenerated regressors
dc.subject.keywordReplicable forecasts
dc.subject.keywordNon-replicable forecasts
dc.subject.keywordExpert intuition.
dc.subject.ucmEconometría (Economía)
dc.subject.ucmMacroeconomía
dc.subject.unesco5302 Econometría
dc.subject.unesco5307.14 Teoría Macroeconómica
dc.titleEvaluating Individual and Mean Non-Replicable Forecasts
dc.typetechnical report
dc.volume.number2011
dcterms.referencesChang, C.-L., P.H. Franses and M. McAleer (2009), How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan, International Journal of Forecasting, to appear. Available at SSRN: http://ssrn.com/abstract=1431007. Eroglu, C. and K.L. Croxton (2010), Biases in Judgmental Adjustments of Statistical Forecasts: The Role of Individual Differences, International Journal of Forecasting, 26, 116-133. Fildes, R, P. Goodwin, M. Lawrence, and K. Nikolopoulos (2009), Effective Forecasting and Judgemental Adjustments: An Empirical Evaluation and Strategies for Improvement in Supply-Chain Planning, International Journal of Forecasting, 25, 3-23. Franses, P.H., H. Kranendonk, and D. Lanser (2011), One Model and Various Experts: Evaluating Dutch Macroeconomic Forecasts, International Journal of Forecasting, 27, 482-495. Franses, P.H. and R. Legerstee (2010), Do Experts’ Adjustments on Model-based SKU-level Forecasts Improve Forecast Quality?, Journal of Forecasting, 29, 331-340. Franses, P.H., M. McAleer and R. Legerstee (2009), Expert Opinion Versus Expertise in Forecasting, Statistica Neerlandica, 63, 334-346. Smith, J. and M. McAleer (1994), Newey-West Covariance Matrix Estimates for Models with Generated Regressors, Applied Economics, 26, 635-640.
dspace.entity.typePublication

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