Disagreement, Uncertainty and the True Predictive Density

Krüger, Fabian; Nolte, Ingmar

Disagreement, Uncertainty and the True Predictive Density

Dateien

Krueger_0-271302.pdfGröße: 967.72 KBDownloads: 1124

Datum

2011

Autor:innen

Krüger, Fabian

Nolte, Ingmar

Open Access-Veröffentlichung

Open Access Green

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

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.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Disagreement, Uncertainty, Predictive Density, Forecast Combination

Zitieren

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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