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Minchul Shin

Federal Reserve Bank of Philadelphia



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161 – Advances in Forecasting of Macroeconomic Variables: New Methods and Applications

Measuring Disagreement in Probabilistic and Density Forecasts

Sponsor: Business and Economic Statistics Section
Keywords: disagreement, dispersion, density forecasting, Wasserstein distance, optimal transport, Survey of Professional Forecasters

Minchul Shin

Federal Reserve Bank of Philadelphia

In this paper, we introduce and study a class of disagreement measures for probability distribution forecasts based on the Wasserstein metric. We describe a few advantageous properties of this measure of disagreement between forecasters. After describing alternatives to our proposal, we use examples to compare these measures to one another in closed form. We provide two empirical illustrations. The first application uses our measure to gauge disagreement among professional forecasters about output growth and inflation rate in the Euro zone. The second application employs our measure to gauge disagreement among multivariate predictive distributions generated by different forecasting methods.

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