Evaluating Individual and Mean Non-Replicable Forecasts

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

No 2011-15, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

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 expert intuition, is non-replicable and is typically biased. In this paper we propose a methodology to analyze the qualities of individual and means of 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 measurement error. An empirical example to forecast economic fundamentals for Taiwan shows the relevance of the methodological approach using both individuals and mean forecasts.

Keywords: Individual forecasts; mean forecasts; efficient estimation; generated regressors; replicable forecasts; non-replicable forecasts; expert intuition. (search for similar items in EconPapers)
JEL-codes: C22 C53 E27 E37 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2011
New Economics Papers: this item is included in nep-cba and nep-for
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https://eprints.ucm.es/id/eprint/12746/1/1115.pdf (application/pdf)

Related works:
Journal Article: Evaluating Individual and Mean Non-Replicable Forecasts (2012)
Working Paper: Evaluating Individual and Mean Non-Replicable Forecasts (2011)
Working Paper: Evaluating Individual and Mean Non-Replicable Forecasts (2011)
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