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Understanding revisions to density forecasts: an application to the Survey of Professional Forecasters

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  • Dr. James Mitchell
Abstract
We explain that revisions to successive density forecasts of the same outcome, as measured by the Kullback-Leibler Information Criterion, need not be unpredictable, unlike those to conditional mean forecasts, even when the forecaster uses information efficiently. However one can still test the efficiency of fixed-event conditional density forecasts, similarly to conditional mean forecasts, by testing the independence of revisions to an event forecast extracted from the density forecast. In an application we thereby test the efficiency of the fixed-event density forecasts of U.S. inflation and GDP growth supplied by the Survey of Professional Forecasters.

Suggested Citation

  • Dr. James Mitchell, 2007. "Understanding revisions to density forecasts: an application to the Survey of Professional Forecasters," National Institute of Economic and Social Research (NIESR) Discussion Papers 296, National Institute of Economic and Social Research.
    • Handle: RePEc:nsr:niesrd:296
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