Combining Non-Replicable Forecasts
Chia-Lin Chang (),
Michael McAleer and
Philip Hans Franses
No EI 2010-44, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
Macro-economic 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 an expert’s touch, is non-replicable and is typically biased. In this paper we propose a methodology to analyze the qualities of combined 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 a measurement error. An empirical example to forecast economic fundamentals for Taiwan shows the relevance of the methodological approach.
Keywords: combined forecasts; efficient estimation; expert’s intuition; generated regressors; non-replicable forecasts; replicable forecasts (search for similar items in EconPapers)
JEL-codes: C22 C53 E27 E37 (search for similar items in EconPapers)
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Working Paper: Combining Non-Replicable Forecasts (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:20156
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