Does Disagreement Amongst Forecasters Have Predictive Value?

Does Disagreement Amongst Forecasters Have Predictive Value?

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Article ID: iaor201526524
Volume: 34
Issue: 4
Start Page Number: 290
End Page Number: 302
Publication Date: Jul 2015
Journal: Journal of Forecasting
Authors: ,
Keywords: statistics: empirical, economics, markov processes
Abstract:

In the present study we examine the predictive power of disagreement amongst forecasters. In our empirical work, we find that in some situations this variable can signal upcoming structural and temporal changes in an economic process and in the predictive power of the survey forecasts. We examine a variety of macroeconomic variables, and we use different measurements for the degree of disagreement, together with measures for location of the survey data and autoregressive components. Forecasts from simple linear models and forecasts from Markov regime‐switching models with constant and with time‐varying transition probabilities are constructed in real time and compared on forecast accuracy.

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