Testing for differences in survey-based density expectations: A compositional data approach

Arbeitspapier

We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap approach based on the KLIC and an approach which involves multiple testing for differences of individual parts of the density. In addition, the test is computaionally much faster than the KLIC-based one, which relies on simulations, and allows for comparisons across multiple groups. Using density expectations from the ECB Survey of Professional Forecasters and the U.S. Survey of Consumer Expectations, we show the usefulness of the test in detecting possible changes in density expectations over time and across different types of forecasters.

Object Details

• ISBN: 978-92-899-5987-2
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 2791

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Expectations; Speculations ; Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
• Subject: compositional data ; density forecasts ; survey forecasts ; disagreement

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Dovern, Jonas ; Glas, Alexander ; Kenny, Geoff
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2023

Further information

• DOI: doi:10.2866/36457
• Handle: http://hdl.handle.net/10419/278367
• Last update: 10.03.2025, 11:43 AM CET