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Understanding Uncertainty Shocks and the Role of Black Swans

Orlik, Anna - 2014

parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty …

Persistent link: https://www.econbiz.de/10012458223

Measuring Uncertainty about Long-Run Prediction

Mueller, Ulrich - 2013

Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We consider long-horizon forecasts of average growth of a scalar variable, assuming that first differences are second-order stationary. The main contribution is the construction of...

Persistent link: https://www.econbiz.de/10012459791

Monetary Policy with Model Uncertainty : Distribution Forecast Targeting

Svensson, Lars - 2005

We examine optimal and other monetary policies in a linear-quadratic setup with a relatively general form of model uncertainty, so-called Markov jump-linear-quadratic systems extended to include forward-looking variables. The form of model uncertainty our framework encompasses includes: simple...

Persistent link: https://www.econbiz.de/10012466939

Business-Level Expectations and Uncertainty

Bloom, Nicholas - 2020

those outcomes. This subjective uncertainty measure correlates positively with financial risk measures. Drawing on the …

Persistent link: https://www.econbiz.de/10012482478

Consensus and Uncertainty in Economic Prediction

Zarnowitz, Victor - 1983

The usual practice in economic forecasting is to report point predictions without specifying the attached probabilities. Periodic surveys of such forecasts produce group averages, which are taken to indicate the "consensus" of experts. Measures of the dispersion of individual forecasts around...

Persistent link: https://www.econbiz.de/10012477929

Probabilistic Prediction for Binary Treatment Choice : with Focus on Personalized Medicine

Manski, Charles F. - National Bureau of Economic Research - 2021

This paper extends my research applying statistical decision theory to treatment choice with sample data, using maximum … in indirect ways, the former applying classical statistical theory and the latter measuring prediction accuracy in test … samples. Neither approach is satisfactory. Statistical decision theory provides a coherent, generally applicable methodology …

Persistent link: https://www.econbiz.de/10012660036

Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters

Engelberg, Joseph - 2006

We use data from the Survey of Professional Forecasters to compare point forecasts of GDP growth and inflation with the subjective probability distributions held by forecasters. We find that SPF forecasters summarize their underlying distributions in different ways and that their summaries tend...

Persistent link: https://www.econbiz.de/10012466693

Comprehensive OOS Evaluation of Predictive Algorithms with Statistical Decision Theory

Dominitz, Jeff; Manski, Charles F. - National Bureau of Economic Research - 2024

We argue that comprehensive out-of-sample (OOS) evaluation using statistical decision theory (SDT) should replace the …

Persistent link: https://www.econbiz.de/10014512123

Thin-Slice Forecasts of Gubernatorial Elections

Benjamin, Daniel J. - 2006

We showed 10-second, silent video clips of unfamiliar gubernatorial debates to a group of experimental participants and asked them to predict the election outcomes. The participants' predictions explain more than 20 percent of the variation in the actual two-party vote share across the 58...

Persistent link: https://www.econbiz.de/10012466001

Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach

Schorfheide, Frank - 2014

We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset returns. Our model consists of an economy containing a common predictable component for consumption and dividend growth and multiple stochastic volatility processes. The...

Persistent link: https://www.econbiz.de/10012458363