The Measurement and Characteristics of Professional Forecasters' Uncertainty
研究了从包含概率问题的预测调查中构建和解读不确定性测量时遇到的统计问题，以英国央行外部预测者调查为例，发现个体预测者的不确定性存在显著异质性和持续性，且点预测的分歧是否反映不确定性取决于宏观经济环境。
Several statistical issues that arise in the construction and interpretation of measures of uncertainty from forecast surveys that include probability questions are considered, with application to the Bank of England Survey of External Forecasters. Substantial heterogeneity of individual forecasters' uncertainty is found, together with significant persistence in their relative uncertainty, which is a new finding in professional forecast surveys. It is an individual characteristic akin to the individual optimism and pessimism already established in the literature on point forecasts; the latter is also found in the current dataset, now in a bivariate sense with respect to joint inflation and output growth point forecasts. Whether disagreement among point forecasts is a useful indicator of uncertainty is shown to depend on the underlying macroeconomic environment. Copyright © 2014 John Wiley & Sons, Ltd.