A Note on Forecaster Discord and Consensus Prediction Error
提出一种检验预测分歧是否可作为不确定性代理变量的方法，通过修改Amemiya(1977)的异方差函数估计程序，并处理重叠预测问题，应用于Livingston调查数据发现预测者分歧与事后预测误差方差显著正相关。
In using survey data, the cross-sectional dispersion of forecasts is commonly used as a proxy for uncertainty. This article proposes a test for the validity of this practice that is a modification of Amemiya's (1977) procedure for estimating heteroscedasticity functions. To deal with the common practical problem of overlapping forecasts, a moving average specification is employed. The technique is applied to the Livingston forecasts of several variables, and the results suggest a significant positive relationship between cross-forecaster dispersion (a measure of forecaster discord) and the variance of ex post prediction errors.