期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2008
卷号：2008
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：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.
