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    Rights statement: The final, definitive version of this article has been published in the Journal, International Journal of Forecasting 31 (1), 2015, © ELSEVIER. DOI#10.1016/j.ijforecast.2014.01.003

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Forecasters and rationality: a comment on Fritsche et al., Forecasting the Brazilian Real and Mexican Peso: Asymmetric loss, forecast rationality and forecaster herding.

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>01/2015
<mark>Journal</mark>International Journal of Forecasting
Issue number1
Volume31
Number of pages4
Pages (from-to)140-143
Publication statusPublished
Early online date6/03/14
Original languageEnglish

Abstract

In this commentary stimulated by Fritsche et al.’s (2014) paper on ‘‘Forecasting the Brazilian Real and Mexican Peso’’ and the implications for forecast rationality, I first survey the literature on forecaster behaviour, and conclude that organisational and psychological factors heavily influence the characteristics of the forecasters’ errors in any particular application. Econometric models cannot decompose the error into these potential sources, due to their reliance on non-experimental data. An interdisciplinary research strategy of triangulation is needed if we are to improve both our understanding of forecaster behaviour and the value of such forecasts.

Bibliographic note

The final, definitive version of this article has been published in the Journal, International Journal of Forecasting 31 (1), 2015, © ELSEVIER. DOI#10.1016/j.ijforecast.2014.01.003