Publikation: Disagreement, Uncertainty and the True Predictive Density
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2011
Autor:innen
Nolte, Ingmar
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Zusammenfassung
This paper generalizes the discussion about disagreement versus uncertainty in macroeconomic survey data by emphasizing the importance of the (unknown) true predictive density. Using a forecast combination approach, we ask whether cross sections of survey point forecasts help to approximate the true predictive density. We find that although these cross-sections perform poorly individually, their inclusion into combined predictive densities can significantly improve upon densities relying solely on time series information.
Zusammenfassung in einer weiteren Sprache
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330 Wirtschaft
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Disagreement, Uncertainty, Predictive Density, Forecast Combination
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KRÜGER, Fabian, Ingmar NOLTE, 2011. Disagreement, Uncertainty and the True Predictive DensityBibTex
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