Template-Type: ReDIF-Paper 1.0
Author-Name: Chang, C-L.
Author-Name-Last: Chang
Author-Name-First: Chia-Lin
Author-Person: pch286
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Title: Evaluating Combined Non-Replicable Forecast
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.
Creation-Date: 2010-12-22
File-URL: https://repub.eur.nl/pub/21944/EI2010-74.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2010-74
Classification-JEL: C22, C53, E27, E37
Keywords: combined forecasts, efficient estimation, expert’s intuition, generated regressors, non-replicable forecasts, replicable forecasts
Handle: RePEc:ems:eureir:21944