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.

Additional Metadata
Keywords combined forecasts, efficient estimation, expert’s intuition, generated regressors, non-replicable forecasts, replicable forecasts
JEL Time-Series Models; Dynamic Quantile Regressions (jel C22), Forecasting and Other Model Applications (jel C53), Forecasting and Simulation (jel E27), Forecasting and Simulation (jel E37)
Publisher Erasmus School of Economics
Persistent URL hdl.handle.net/1765/20156
Series Econometric Institute Research Papers
Journal Report / Econometric Institute, Erasmus University Rotterdam
Citation
Chang, C-L, McAleer, M.J, & Franses, Ph.H.B.F. (2010). Combining Non-Replicable Forecasts (No. EI 2010-44). Report / Econometric Institute, Erasmus University Rotterdam. Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/20156