Arbeitspapier
Modeling uncertainty: Predictive accuracy as a proxy for predictive confidence
This paper evaluates current strategies for the empirical modeling of forecast behavior. In particular, we focus on the reliability of using proxies from time series models of heteroskedasticity to describe changes in predictive confidence. We address this issue by examining the relationship between ex post forecast errors and ex ante measures of forecast uncertainty from data on inflation forecasts from the Survey of Professional Forecasters. The results provide little evidence of a strong link between observed heteroskedasticity in the consensus forecast errors and forecast uncertainty. Instead, the findings indicate a significant link between observed heteroskedasticity in the consensus forecast errors and forecast dispersion. We conclude that conventional model-based measures of uncertainty may be capturing not the degree of confidence that individuals attach to their forecasts but rather the degree of disagreement across individuals in their forecasts.
- Language
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Englisch
- Bibliographic citation
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Series: Staff Report ; No. 161
- Classification
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Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Subject
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Prognose
Risiko
Erwartungstheorie
Zeitreihenanalyse
Inflation
Theorie
USA
Verhalten
Heteroskedastizität
- Event
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Geistige Schöpfung
- (who)
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Rich, Robert
Tracy, Joseph
- Event
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Veröffentlichung
- (who)
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Federal Reserve Bank of New York
- (where)
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New York, NY
- (when)
-
2003
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Rich, Robert
- Tracy, Joseph
- Federal Reserve Bank of New York
Time of origin
- 2003
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