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Are macroeconomic density forecasts informative?

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  • Clements, Michael P.
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.

Suggested Citation

  • Clements, Michael P., 2018. "Are macroeconomic density forecasts informative?," International Journal of Forecasting, Elsevier, vol. 34(2), pages 181-198.
    • Handle: RePEc:eee:intfor:v:34:y:2018:i:2:p:181-198
    DOI: 10.1016/j.ijforecast.2017.10.004
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    18. Malte Knüppel & Fabian Krüger, 2022. "Forecast uncertainty, disagreement, and the linear pool," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 23-41, January.
    19. David A. Comerford, 2024. "Response Bias in Survey Measures of Expectations: Evidence from the Survey of Consumer Expectations’ Inflation Module," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(4), pages 933-953, June.
    20. Todd E. Clark & Gergely Ganics & Elmar Mertens, 2022. "What is the Predictive Value of SPF Point and Density Forecasts?," Working Papers 22-37, Federal Reserve Bank of Cleveland.
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    23. Tatjana Dahlhaus & Tatevik Sekhposyan, 2018. "Monetary Policy Uncertainty: A Tale of Two Tails," Staff Working Papers 18-50, Bank of Canada.

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    More about this item

    Keywords

    Probability distribution forecasts; Aggregation; Kullback–Leibler information criterion;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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