An evaluation of the Survey of Professional Forecasters probability distributions of expected inflation and output growth

نویسنده

  • Michael P. Clements
چکیده

Regression-based tests of forecast probabilities of particular events of interest are constructed. The event forecast probabilities are derived from the SPF density forecasts of expected inflation and output growth. Tests of the event probabilities supplement statistically-based assessments of the forecast densities using the probability integral transform approach. The regression-based tests assess whether the forecast probabilities of particular events are equal to the true probabilities, and whether any systematic divergences between the two are related to variables in the agents’ information set at the time the forecasts were made. Forecast encompassing tests are also used to assess the quality of the event probability forecasts. Journal of Economic Literature classification: C53.

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تاریخ انتشار 2002