This paper investigates the role of cross-sectional dependence among private forecasters, assessing its impact on the measurement and use of the forecasting uncertainty. We determine the circumstances under which cross-sectional measures of uncertainty (such as the disagreement across...

In this paper, we provide a coherent theoretical investigation of the relationship between cross-section and time series measures of uncer- tainty, which are often employed as perfect substitutes in empirical applica- tions. The main .nding of our analysis is that there exists an ambiguous sign...

This paper considers measures of uncertainty used in economic estimation. Our first contribution is to address the theoretical relationship between cross-section and time series measures, highlighting the reasons why these might diverge. In a subsequent empirical section, we compare measures of...