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Robust evaluation of fixed-event forecast rationality
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UNSPECIFIED (2001) Robust evaluation of fixed-event forecast rationality. JOURNAL OF FORECASTING, 20 (4). pp. 285-295. ISSN 0277-6693.
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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 | ||||
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Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management H Social Sciences > HD Industries. Land use. Labor |
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Journal or Publication Title: | JOURNAL OF FORECASTING | ||||
Publisher: | JOHN WILEY & SONS LTD | ||||
ISSN: | 0277-6693 | ||||
Official Date: | July 2001 | ||||
Dates: |
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Volume: | 20 | ||||
Number: | 4 | ||||
Number of Pages: | 11 | ||||
Page Range: | pp. 285-295 | ||||
Publication Status: | Published |
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