Evaluating individual and mean non-replicable forecasts
Romanian Journal of Economic Forecasting , Volume 15 - Issue 3 p. 22- 43
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 alternative 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 alternative mean forecasts.
|Alternative mean forecasts, Efficient estimation, Expert intuition, Generated regressors, Individual forecasts, Non-replicable forecasts, Replicable forecasts|
|Romanian Journal of Economic Forecasting|
|Organisation||Department of Econometrics|
Chang, C-L, Franses, Ph.H.B.F, & McAleer, M.J. (2012). Evaluating individual and mean non-replicable forecasts. Romanian Journal of Economic Forecasting, 15(3), 22–43. Retrieved from http://hdl.handle.net/1765/86052