Evaluating Individual and Mean Non-Replicable Forecasts
dc.contributor.author | Chang, Chia-Lin | |
dc.contributor.author | Franses, Philip Hans | |
dc.contributor.author | McAleer, Michael | |
dc.date.accessioned | 2023-06-20T09:13:10Z | |
dc.date.available | 2023-06-20T09:13:10Z | |
dc.date.issued | 2011-04 | |
dc.description.abstract | 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. | |
dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
dc.description.refereed | FALSE | |
dc.description.status | unpub | |
dc.eprint.id | https://eprints.ucm.es/id/eprint/12746 | |
dc.identifier.relatedurl | https://www.ucm.es/icae | |
dc.identifier.uri | https://hdl.handle.net/20.500.14352/49003 | |
dc.issue.number | 15 | |
dc.language.iso | eng | |
dc.page.total | 31 | |
dc.publication.place | Madrid | |
dc.publisher | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | |
dc.relation.ispartofseries | Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
dc.rights | Atribución-NoComercial 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | https://creativecommons.org/licenses/by-nc/3.0/es/ | |
dc.subject.jel | C53 | |
dc.subject.jel | C22 | |
dc.subject.jel | E27 | |
dc.subject.jel | E37 | |
dc.subject.keyword | Individual forecasts | |
dc.subject.keyword | Mean forecasts | |
dc.subject.keyword | Efficient estimation | |
dc.subject.keyword | Generated regressors | |
dc.subject.keyword | Replicable forecasts | |
dc.subject.keyword | Non-replicable forecasts | |
dc.subject.keyword | Expert intuition. | |
dc.subject.ucm | Econometría (Economía) | |
dc.subject.ucm | Macroeconomía | |
dc.subject.unesco | 5302 Econometría | |
dc.subject.unesco | 5307.14 Teoría Macroeconómica | |
dc.title | Evaluating Individual and Mean Non-Replicable Forecasts | |
dc.type | technical report | |
dc.volume.number | 2011 | |
dcterms.references | Chang, 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.type | Publication |
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