Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity
Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity
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测量组合预测的不确定性和预测者异质性的一些测试
DOI：
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发表时间：
2015
期刊：
影响因子：
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通讯作者：
X. Sheng
中科院分区：
文献类型：
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作者：
K. Lahiri;Huaming Peng;X. Sheng
我们认为，从政策制定者的角度来看，使用平均预测的不确定性不是平均值的方差，而是包含特殊风险的单个预测的方差的平均值。稍微重新制定的损失函数和一个标准的因子分解的面板的预测，我们表明，平均预测的不确定性可以表示为预测者之间的分歧加上共同冲击的波动性。使用新的统计测试的同质性的特质误差下的联合限制与T和n同时接近无穷大，我们表明，一些以前使用的措施显着低估了概念上正确的基准预测的不确定性。
We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility of the common shock. Using new statistics to test for the homogeneity of idiosyncratic errors under the joint limits with both T and n approaching infinity simultaneously, we show that some previously used measures significantly underestimate the conceptually correct benchmark forecast uncertainty.