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Evaluating the Survey of Professional Forecasters probability distributions of expected inflation based on derived event probability forecasts
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Clements, Michael P.. (2006) Evaluating the Survey of Professional Forecasters probability distributions of expected inflation based on derived event probability forecasts. Empirical Economics, Vol.31 (No.1). pp. 49-64. ISSN 0377-7332
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Official URL: http://dx.doi.org/10.1007/s00181-005-0014-9
Abstract
Techniques are proposed for evaluating forecast probabilities of events. The tools are especially useful when, as in the case of the Survey of Professional Forecasters (SPF) expected probability distributions of inflation, recourse cannot be made to the method of construction in the evaluation of the forecasts. The tests of efficiency and conditional efficiency are applied to the forecast probabilities of events of interest derived from the SPF distributions, and supplement a whole-density evaluation of the SPF distributions based on the probability integral transform approach.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences |
| Divisions: | Faculty of Social Sciences > Economics |
| Journal or Publication Title: | Empirical Economics |
| Publisher: | Physica-Verlag GmbH und Co. |
| ISSN: | 0377-7332 |
| Date: | March 2006 |
| Volume: | Vol.31 |
| Number: | No.1 |
| Number of Pages: | 16 |
| Page Range: | pp. 49-64 |
| Identification Number: | 10.1007/s00181-005-0014-9 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Restricted or Subscription Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/33705 |
Data sourced from Thomson Reuters' Web of Knowledge
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