We propose a decomposition to distinguish between Knightian uncertainty (ambiguity) and risk, where the …rst measures the uncertainty about the probability distribution generating the data, while the second measures uncertainty about the odds of the outcomes when the probability distribution is known. We use the Survey of Professional Forecasters (SPF) density forecasts to quantify overall uncertainty as well as the evolution of the di¤erent components of uncertainty over time and investigate their importance for macroeconomic ‡uctuations. We also study the behavior and evolution of the various components of our decomposition in a model that features ambiguity and risk.

In this article, we review methodologies to fix the size distortions of tests for forecast evaluation in the presence of instabilities. The methodologies implement tests for relative and absolute forecast evaluation that are robust to instabilities. We also introduce the giacross and rosssekh commands, which implement these procedures in Stata.

In this article, we review methodologies to fix the size distortions of tests for forecast evaluation in the presence of instabilities. The methodologies implement tests for relative and absolute forecast evaluation that are robust to instabilities. We also introduce the giacross and rosssekh commands, which implement these procedures in Stata.