Abstract The European Survey of Professional Forecasters (SPF) is a dataset that is widely used to derive measures of forecast uncertainty. Participants in the SPF provide not only point estimates but also density forecasts for key macroeconomic variables. The mean individual variance, defined as the average of the variances of individual forecasts, shifted up during the Great Recession and has remained elevated since the crisis. The paper seeks to explain this puzzling lack of countercyclicality by applying a smooth transition analysis on data from the European SPF. The analysis indicates that the mean individual variance is a function of the modelling preferences of forecasters and consequently shifts in individual variance are likely to be misleading for the actual changes in the perceived uncertainty. The results remain robust after potential endogeneity has been accounted for.

中文翻译：

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预测不确定性的舍入偏差

摘要 欧洲专业预报员调查 (SPF) 是一个广泛用于推导预测不确定性度量的数据集。SPF 的参与者不仅提供点估计，而且提供关键宏观经济变量的密度预测。平均个体方差，定义为个体预测方差的平均值，在大衰退期间向上移动，自危机以来一直保持高位。本文试图通过对来自欧洲 SPF 的数据应用平滑过渡分析来解释这种令人费解的缺乏反周期性。分析表明，平均个体方差是预测者建模偏好的函数，因此个体方差的变化可能会误导感知不确定性的实际变化。