Evaluating Combined Non-Replicable Forecasts

Chia-Lin Chang (), Philip Hans Franses and Michael McAleer

No 744, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: 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 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; generated regressors; replicable forecasts; non-replicable forecasts; expert's intuition. (search for similar items in EconPapers)
JEL-codes: C22 C53 E27 E37 (search for similar items in EconPapers)
Pages: 28pages
Date: 2010-12
New Economics Papers: this item is included in nep-cba, nep-for and nep-ore
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http://www.kier.kyoto-u.ac.jp/DP/DP744.pdf (application/pdf)

Related works:
Working Paper: Evaluating Combined Non-Replicable Forecasts (2010)
Working Paper: Evaluating Combined Non-Replicable Forecast (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:kyo:wpaper:744

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