中國(guó)人民大學(xué)能源經(jīng)濟(jì)系

能源經(jīng)濟(jì)學(xué)研討會(huì) (Energy Economics Seminar)

題目:如何測(cè)算經(jīng)濟(jì)預(yù)測(cè)中的不確定性

主講人：Xuguang Sheng博士（American University經(jīng)濟(jì)系助理教授）

地點(diǎn)：明德樓主樓729會(huì)議室

時(shí)間：12月20日(周二) 12:00-13:30

摘要：Using a standard factor decomposition of a panel of forecasts, we have shown that the forecast uncertainty from the standpoint of a policy maker can be expressed as the disagreement among forecasters plus the perceived variability of common aggregate shocks. Thus, the uncertainty of the average forecast is not the variance of the average forecast but rather the average of the variances of the individual forecasts, where the combined forecast is obtained by minimizing the risk averaged over all possible forecasts rather than the risk of the combined forecast. Using a number of private and government forecasters during 1986-2008, Reifschneider and Tulip (2007) suggested a measure of historical forecast uncertainty against which the Federal Open Market Committee (FOMC) members report their views about the current level of uncertainty. Using a new statistic developed in this paper to test the heterogeneity of idiosyncratic errors under the joint limits with both T and N approaching infinity simultaneously, we show that their measure significantly underestimates the correct benchmark forecast uncertainty.

主講人簡(jiǎn)介： Xuguang Sheng博士，我院院友。本科就讀于中國(guó)人民大學(xué)，博士畢業(yè)于紐約州立大學(xué)阿爾巴尼分校。現(xiàn)任職于American University經(jīng)濟(jì)系助理教授。研究領(lǐng)域：Panel data econometrics, Time series econometrics, Economic and financial forecasting。與本次探討內(nèi)容相關(guān)的兩篇文章即將在Journal of Accounting and Economics和Journal of Probability and Statistics上發(fā)表。