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.

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Erasmus School of Economics
hdl.handle.net/1765/21944
Econometric Institute Research Papers
Report / Econometric Institute, Erasmus University Rotterdam
Erasmus School of Economics

Chang, C-L, Franses, Ph.H.B.F, & McAleer, M.J. (2010). Evaluating Combined Non-Replicable Forecast (No. EI 2010-74). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–28). Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/21944