Disagreement, Uncertainty and the True Predictive Density

Fabian Krüger () and Ingmar Nolte
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Fabian Krüger: Department of Economics, University of Konstanz, Germany

No 2011-43, Working Paper Series of the Department of Economics, University of Konstanz from Department of Economics, University of Konstanz

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.

Keywords: Disagreement; Uncertainty; Predictive Density; Forecast Combination (search for similar items in EconPapers)
JEL-codes: C53 C83 E F (search for similar items in EconPapers)
Pages: 27 pages
Date: 2011-09-01
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-for
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