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Does Disagreement amongst Forecasters have Predictive Value?

Legerstee, Rianne; Franses, Philip Hans - 2010

predictive power of disagreement amongst forecasters. The premise is that this variable could signal upcoming structural or … variety of macroeconomic variables, and we use different measurements for the degree of disagreement, together with measures … compared on forecast accuracy. We find that disagreement has predictive power indeed and that this variable can be used to …

Persistent link: https://www.econbiz.de/10010326050

Do Experts incorporate Statistical Model Forecasts and should they?

Legerstee, Rianne; Franses, Philip Hans; Paap, Richard - 2011

Experts can rely on statistical model forecasts when creating their own forecasts. Usually it is not known what experts actually do. In this paper we focus on three questions, which we try to answer given the availability of expert forecasts and model forecasts. First, is the expert forecast...

Persistent link: https://www.econbiz.de/10010326324

Do Experts' SKU Forecasts improve after Feedback?

Legerstee, Rianne; Franses, Philip Hans - 2011

We analyze the behavior of experts who quote forecasts for monthly SKU-level sales data where we compare data before and after the moment that experts received different kinds of feedback on their behavior. We have data for 21 experts located in as many countries who make SKU-level forecasts for...

Persistent link: https://www.econbiz.de/10010326360

Estimating Loss Functions of Experts

Franses, Philip Hans; Legerstee, Rianne; Paap, Richard - 2011

We propose a new and simple methodology to estimate the loss function associated with experts' forecasts. Under the assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex loss function can easily be estimated using a linear...

Persistent link: https://www.econbiz.de/10010326488

Conditional macroeconomic forecasts: Disagreement, revisions and forecast errors

Glas, Alexander; Heinisch, Katja - 2021

Using data from the European Central Bank's Survey of Professional Forecasters, we analyse the role of ex-ante conditioning variables for macroeconomic forecasts. In particular, we test to which extent the heterogeneity, updating and ex-post performance of predictions for inflation, real GDP...

Persistent link: https://www.econbiz.de/10012544616

Inside the crystal ball: New approaches to predicting the gasoline price at the pump

Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K. - 2015

Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available information. We explore a range of new forecasting...

Persistent link: https://www.econbiz.de/10010464595

Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump

Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K. - 2016

Persistent link: https://www.econbiz.de/10011431288

Testing forecast rationality for measures of central tendency

Dimitriadis, Timo; Patton, Andrew J.; Schmidt, Patrick W. - 2020

Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or any convex combination thereof. We propose tests of forecast rationality when the measure of...

Persistent link: https://www.econbiz.de/10012306502

Constructing fan charts from the ragged edge of SPF forecasts

Clark, Todd E.; Ganics, Gergely; Mertens, Elmar - 2024

We develop models that take point forecasts from the Survey of Professional Forecasters (SPF) as inputs and produce estimates of survey-consistent term structures of expectations and uncertainty at arbitrary forecast horizons. Our models combine fixed-horizon and fixed-event forecasts,...

Persistent link: https://www.econbiz.de/10015084726

Forecast combinations

Aiolfi, Marco; Capistrán, Carlos; Timmermann, Allan - 2010

We consider combinations of subjective survey forecasts and model-based forecasts from linear and non-linear univariate specifications as well as multivariate factor-augmented models. Empirical results suggest that a simple equal-weighted average of survey forecasts outperform the best...

Persistent link: https://www.econbiz.de/10010322597