Estimating fundamental cross-section dispersion from fixed event forecasts

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: DEP (Socioeconomics) Discussion Papers - Macroeconomics and Finance Series ; No. 1/2008

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
• Subject: survey data ; dispersion ; disagreement ; fixed event forecasts

Contributors, Location and Time

• Event: Geistige Schöpfung
• (who): Dovern, Jonas ; Fritsche, Ulrich
• Event: Veröffentlichung
• (who): Hamburg University, Department Economics and Politics
• (where): Hamburg
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/103166
• Last update: 10.03.2025, 11:44 AM CET