Disagreement, Uncertainty and the True Predictive Density

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2011
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Nolte, Ingmar
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Working Paper Series / Department of Economics; 2011-43
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Abstract
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.
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330 Economics
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Disagreement, Uncertainty, Predictive Density, Forecast Combination
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ISO 690KRÜGER, Fabian, Ingmar NOLTE, 2011. Disagreement, Uncertainty and the True Predictive Density
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@techreport{Kruger2011Disag-29674,
  year={2011},
  series={Working Paper Series / Department of Economics},
  title={Disagreement, Uncertainty and the True Predictive Density},
  number={2011-43},
  author={Krüger, Fabian and Nolte, Ingmar}
}
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