Does Disagreement Amongst Forecasters Have Predictive Value?

R (Rianne) Legerstee, Philip Hans Franses

Research output: Contribution to journalArticleAcademicpeer-review

6 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)290-302
Number of pages13
JournalJournal of Forecasting
Volume34
Issue number4
DOIs
Publication statusPublished - 2015

Research programs

  • EUR ESE 31

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