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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015
We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the … that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility … the conceptually correct benchmark forecast uncertainty. …
Persistent link: https://www.econbiz.de/10011305389
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The Nordhaus test with many zeros
Lahiri, Kajal; Zhao, Yongchen - 2020
growth, inflation, and unemployment over 1985-2020, we find pervasive overreaction to news at most of the monthly forecast …
Persistent link: https://www.econbiz.de/10012226771
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Forecasting consumption : the role of consumer confidence in real time with many predictors
Lahiri, Kajal; Monokroussos, George; Zhao, Yongchen - In: Journal of applied econometrics 31 (2016) 7, pp. 1254-1275
Persistent link: https://www.econbiz.de/10011687477
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The predictive power of an experimental transportation output index
Lahiri, Kajal; Yao, Wenxiong - In: Applied economics letters 11 (2004) 3, pp. 149-152
Persistent link: https://www.econbiz.de/10001951316
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Comments on "Forecasting economic and financial variables with global VARs"
Lahiri, Kajal - In: International journal of forecasting 25 (2009) 4, pp. 689-692
Persistent link: https://www.econbiz.de/10003921317
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Rejoinder to comments on forecasting economic and financial variables with global VARs
Pesaran, M. Hashem; Schuermann, Til; Smith, L. Vanessa - In: International journal of forecasting 25 (2009) 4, pp. 703-715
Persistent link: https://www.econbiz.de/10003921332
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Heterogeneous expectations among professional forecasters
Conrad, Christian; Lahiri, Kajal - 2023
Macroeconomic expectations of various economic agents are characterized by substantial cross-sectional heterogeneity. In this paper, we focus on expectations heterogeneity among professional forecasters. We first present stylized facts and discuss theoretical explanations for heterogeneous...
Persistent link: https://www.econbiz.de/10014472058
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International Propagation of Shocks : A Dynamic Factor Model Using Survey Forecasts
Lahiri, Kajal - 2018
This paper studies the pathways for the propagation of shocks across G7 and major Asia-Pacific countries using multi-horizon forecasts of real GDP growth from 1995 to 2017. We show that if the forecasts are efficient in the long run, results obtained using the forecasts are comparable to those...
Persistent link: https://www.econbiz.de/10012911318
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020
uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a … some previously used measures significantly underestimate the conceptually correct benchmark forecast uncertainty. …
Persistent link: https://www.econbiz.de/10012405456