Disagreement, Uncertainty and the True Predictive Density

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.

Number of Pages in PDF File: 36

Keywords: Disagreement, Uncertainty, Predictive Density, Forecast Combination

JEL Classification: C53, C83, E7, F7

working papers series