Disagreement, Uncertainty and the True Predictive Density
University of Konstanz
Warwick Business School - Finance Group - Financial Econometrics Research Centre
March 29, 2012
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, F7working papers series
Date posted: August 10, 2010 ; Last revised: March 29, 2012
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