Publikation:

Disagreement, Uncertainty and the True Predictive Density

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Krueger_0-271302.pdf
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2011

Autor:innen

Nolte, Ingmar

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Working Paper/Technical Report
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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

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Disagreement, Uncertainty, Predictive Density, Forecast Combination

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ISO 690KRÜGER, Fabian, Ingmar NOLTE, 2011. Disagreement, Uncertainty and the True Predictive Density
BibTex
@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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