Robust evaluation of fixed-event forecast rationality
UNSPECIFIED. (2001) Robust evaluation of fixed-event forecast rationality. JOURNAL OF FORECASTING, 20 (4). pp. 285-295. ISSN 0277-6693Full text not available from this repository.
In this paper we introduce a new testing procedure for evaluating the rationality of fixed-event forecasts based on a pseudo-maximum likelihood estimator. The procedure is designed to be robust to departures in the normality assumption. A model is introduced to show that such departures are likely when forecasters experience a credibility loss when they make large changes to their forecasts. The test is illustrated using monthly fixed-event forecasts produced by four UK institutions. Use of the robust test leads to the conclusion that certain forecasts are rational while use of the Gaussian-based test implies that certain forecasts are irrational. The difference in the results is due to the nature of the underlying data. Copyright (C) 2001 John Wiley & Sons, Ltd.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HD Industries. Land use. Labor
|Journal or Publication Title:||JOURNAL OF FORECASTING|
|Publisher:||JOHN WILEY & SONS LTD|
|Official Date:||July 2001|
|Number of Pages:||11|
|Page Range:||pp. 285-295|
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