Measuring Forecast Uncertainty by Disagreement: The Missing Link

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Macroeconomic Uncertainty Through the Lens of Professional Forecasters (2019, neutral): “…disagreement (e.g., Patton and Timmermann 2010), consider individual forecasters’ subjective probabilities as a measure of uncertainty (Boero, Smith, and Wallis 2015), or investigate the relationship between ex ante and ex post forecast uncertainty (e.g., Lahiri and Sheng 2010; Clements 2014).”
Combining Forecasts: An Application to Elections (2014, positive): “For example, in analyzing 2,787 observations for inflation and 2,342 observations for GDP forecasts from the Survey of Professional Forecasters, Lahiri and Sheng (2010) confirmed evidence from earlier research showing that disagreement within a given method tends to underestimate the level of uncert”