Are Macroeconomic Density Forecasts Informative?
Are Macroeconomic Density Forecasts Informative?
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宏观经济密度预测是否提供信息？
DOI：
10.2139/ssrn.3005943
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
Michael P. Clements
中科院分区：
文献类型：
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作者：
Michael P. Clements
摘要我们考虑调查密度预测（如美国专业预测调查的通货膨胀和产出增长直方图）是否上级无条件密度预测。无条件预测假定过去经历的不确定性的平均水平将在未来继续占主导地位，而SPF预测应适应当前条件和每个预测来源的前景。在最短的时间内，SPF预测可能会超过无条件密度，但事实证明，这不是任何一个变量的综合预测的情况，也不是大多数预测通货膨胀的个体受访者的情况。
Abstract We consider whether survey density forecasts (such as the inflation and output growth histograms of the US Survey of Professional Forecasters) are superior to unconditional density forecasts. The unconditional forecasts assume that the average level of uncertainty that has been experienced in the past will continue to prevail in the future, whereas the SPF projections ought to be adapted to the current conditions and the outlook at each forecast origin. The SPF forecasts might be expected to outperform the unconditional densities at the shortest horizons, but it transpires that such is not the case for the aggregate forecasts of either variable, or for the majority of the individual respondents for forecasting inflation.