Forecast Uncertainty- Ex Ante and Ex Post: U.S. Inflation and Output Growth
Journal of Business & Economic Statistics, 2014, vol. 32, issue 2, 206-216
Survey respondents who make point predictions and histogram forecasts of macro-variables reveal both how uncertain they believe the future to be, ex ante , as well as their ex post performance. Macroeconomic forecasters tend to be overconfident at horizons of a year or more, but overestimate (i.e., are underconfident regarding) the uncertainty surrounding their predictions at short horizons. Ex ante uncertainty remains at a high level compared to the ex post measure as the forecast horizon shortens. There is little evidence of a link between individuals' ex post forecast accuracy and their ex ante subjective assessments.
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