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Title:Estimating fundamental cross-section dispersion from fixed event forecasts PDF Logo
Authors:Dovern, Jonas
Fritsche, Ulrich
Issue Date:2008
Citation:[Series:] Discussion papers // German Institute for Economic Research [No.:] 787 [Editor:] DIW, Berlin
Series/Report no.:Discussion papers // German Institute for Economic Research 787
Abstract:A couple of recent papers have shifted the focus towards disagreement of professional forecasters. When dealing with survey data that is sampled at a frequency higher than annual and that includes only fixed event forecasts, e.g. expectation of average annual growth rates measures of disagreement across forecasters naturally are distorted by a component that mainly reflects the time varying forecast horizon. We use data from the Survey of Professional Forecasters, which reports both fixed event and fixed horizon forecasts, to evaluate different methods for extracting the fundamental component of disagreement. Based on the paper's results we suggest two methods to estimate dispersion measures from panels of fixed event forecasts: a moving average transformation of the underlying forecasts and estimation with constant forecast-horizon- effects. Both models are easy to handle and deliver equally well performing results, which show a surprisingly high correlation (up to 0:94) with the true dispersion.
Subjects:Survey data
dispersion
disagreement
fixed event forecasts
JEL:C22
C32
E37
Document Type:Working Paper
Appears in Collections:DIW-Diskussionspapiere
Publikationen von Forscherinnen und Forschern des IfW
Publikationen von Forscherinnen und Forschern des DIW

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