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
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)
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-for
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