On the normality of probability distributions of inflation and GNP forecasts |
| |
| Institution: | 1. Department of Medicine, University of Cape Town and Groote Schuur Hospital, Cape Town, South Africa;2. Faculty of Medicine, University of Paris Sud XI, Le Kremlin-Bicêtre, France;3. Ibal Sub-Divisional Hospital, Oku, Northwest Region, Cameroon;4. Department of Clinical Research, Health Education and Research Organization (HERO), Buea, Cameroon;5. Department of Internal Medicine and Specialties, Faculty of Medicine and Biomedical Sciences, University of Yaoundé I, Yaoundé, Cameroon;6. School of Health and Related Research, The University of Sheffield, Sheffield, United Kingdom;7. Cape Universities Body Imaging Center, University of Cape Town, Cape Town, South Africa;8. Department of Medicine, Hatter Institute for Cardiovascular Research in Africa, University of Cape Town, Cape Town, South Africa |
| |
| Abstract: | This study analyzes mean probability distributions reported by ASA-NBER forecasters on two macroeconomic variables, GNP and the GNP implicit price deflator. In the derivation of expectations, a critical assertion has been that the aggregate average expectation can be regarded as coming from a normal distribution. We find that, in fact, this assumption should be rejected in favor of distributions which are more peaked and skewed. For IPD, they are mostly positively skewed, and for nominal GNP the reverse is true. We then show that a non-central scaled t-distribution fit the empirical distributions remarkably well. The practice of using the degree of consensus across a group of predictions as a measure of a typical forecasters' uncertainty about the prediction is called to question. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
