Resource title

Estimating fundamental cross-section dispersion from fixed event forecasts

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Resource description

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.

Resource author

Jonas Dovern, Ulrich Fritsche

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/27311

Resource license

Adapt according to the presented license agreement and reference the original author.