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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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Forecasters and rationality
T2 - a comment on Fritsche et al., Forecasting the Brazilian Real and Mexican Peso: Asymmetric loss, forecast rationality and forecaster herding.
AU - Fildes, Robert
N1 - 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
PY - 2015/1
Y1 - 2015/1
N2 - 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.
AB - 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.
KW - Forecaster behavior
KW - Loss functions
KW - Rationality
KW - Interdiscpinary research
U2 - 10.1016/j.ijforecast.2014.01.003
DO - 10.1016/j.ijforecast.2014.01.003
M3 - Journal article
VL - 31
SP - 140
EP - 143
JO - International Journal of Forecasting
JF - International Journal of Forecasting
SN - 0169-2070
IS - 1
ER -