We apply generalized beta and triangular distributions to histograms from the Survey of Professional Forecasters (SPF) to estimate forecast uncertainty, shocks and discord using information framework, and compare these with moment-based estimates. We find these two approaches to produce...

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that...

We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...

We reformulate the Nordhaus test as a friction model where the large number of zero revisions are treated as censored, i.e., unknown values inside a small region of "imperceptibility." Using Blue Chip individual forecasts of U.S. real GDP growth, inflation, and unemployment over 1985-2020, we...

The objective of this paper is to estimate the effect of diabetes on labor market exit using longitudinal data from the 1992-2010 Health and Retirement Study (HRS). We estimate a discrete time hazard model to test whether diabetes affects the hazard of leaving employment among individuals who...