Density characteristics and density forecast performance: a panel analysis

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• 作者：Geoff Kenny ; Thomas Kostka ; Federico Masera
• 关键词：Density forecasting ; Forecast evaluation ; Survey of professional forecasters ; Panel data ; C22 ; C53
• 刊名：Empirical Economics
• 出版年：2015
• 出版时间：May 2015
• 年：2015
• 卷：48
• 期：3
• 页码：1203-1231
• 全文大小：1,039 KB
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• 刊物主题：Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory;
• 出版者：Springer Berlin Heidelberg
• ISSN：1435-8921

文摘

In this paper, we exploit micro data from the ECB survey of professional forecasters to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness, and tail risk) and density forecast performance. Controlling for the effects of common macroeconomic shocks, we apply cross-sectional and fixed effect panel regressions linking such density characteristics and density forecast performance. Our empirical results suggest that many macroeconomic experts could systematically improve their density performance by correcting a downward bias in their variances. Aside from this shortcoming in the second moment characteristics of the individual densities, other higher moment features, such as skewness or variation in the degree of probability mass given to the tails of the predictive distributions, tend—as a rule—not to contribute significantly to enhancing individual density forecast performance.