RT Report
T1 Evaluating Individual and Mean Non-Replicable Forecasts
A1 Chang, Chia-Lin
A1 Franses, Philip Hans
A1 McAleer, Michael
AB 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.
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2011
FD 2011-04
LK https://hdl.handle.net/20.500.14352/49003
UL https://hdl.handle.net/20.500.14352/49003
LA eng
DS Docta Complutense
RD 18 abr 2025