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
hdl.handle.net/1765/86052
Romanian Journal of Economic Forecasting
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