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Does Disagreement Amongst Forecasters Have Predictive Value?
Author(s) -
Legerstee Rianne,
Franses Philip Hans
Publication year - 2015
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.2330
Subject(s) - autoregressive model , econometrics , predictive power , survey of professional forecasters , markov chain , variable (mathematics) , economics , value (mathematics) , computer science , statistics , mathematics , monetary policy , mathematical analysis , philosophy , epistemology , monetary economics
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. Copyright © 2015 John Wiley & Sons, Ltd.