Disagreement, Uncertainty and the True Predictive Density

Krüger, Fabian; Nolte, Ingmar

Disagreement, Uncertainty and the True Predictive Density

Files

Krueger_0-271302.pdf(967.72 KB)

Date

2011

Authors

Krüger, Fabian

Nolte, Ingmar

Series

Working Paper Series / Department of Economics; 2011-43

Publication type

Working Paper/Technical Report

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.

Subject (DDC)

330 Economics

Keywords

Disagreement, Uncertainty, Predictive Density, Forecast Combination

Cite This

ISO 690

KRÜGER, 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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