UNSPECIFIED (2001) Robust evaluation of fixed-event forecast rationality. JOURNAL OF FORECASTING, 20 (4). pp. 285-295. ISSN 0277-6693

Full text not available from this repository.

Abstract

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
ISSN:	0277-6693
Date:	July 2001
Volume:	20
Number:	4
Number of Pages:	11
Page Range:	pp. 285-295
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/11890

Data sourced from Thomson Reuters' Web of Knowledge

Request changes to a record

Actions (login required)

View Item