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  • NolteNoltePohlmeier2018_full

    Rights statement: This is the author’s version of a work that was accepted for publication in International Journal of Forecasting. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Journal of Forecasting, 35, 1, 2018 DOI: 10.1016/j.ijforecast.2018.07.007

    Accepted author manuscript, 1.55 MB, PDF document

    Embargo ends: 11/10/20

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What determines forecasters’ forecasting errors?

Research output: Contribution to journalJournal article

Published

Standard

What determines forecasters’ forecasting errors? / Nolte, Ingmar; Nolte, Sandra; Pohlmeier, Winfried.

In: International Journal of Forecasting, Vol. 35, No. 1, 01.2019, p. 11-24.

Research output: Contribution to journalJournal article

Harvard

Nolte, I, Nolte, S & Pohlmeier, W 2019, 'What determines forecasters’ forecasting errors?', International Journal of Forecasting, vol. 35, no. 1, pp. 11-24. https://doi.org/10.1016/j.ijforecast.2018.07.007

APA

Nolte, I., Nolte, S., & Pohlmeier, W. (2019). What determines forecasters’ forecasting errors? International Journal of Forecasting, 35(1), 11-24. https://doi.org/10.1016/j.ijforecast.2018.07.007

Vancouver

Nolte I, Nolte S, Pohlmeier W. What determines forecasters’ forecasting errors? International Journal of Forecasting. 2019 Jan;35(1):11-24. https://doi.org/10.1016/j.ijforecast.2018.07.007

Author

Nolte, Ingmar ; Nolte, Sandra ; Pohlmeier, Winfried. / What determines forecasters’ forecasting errors?. In: International Journal of Forecasting. 2019 ; Vol. 35, No. 1. pp. 11-24.

Bibtex

@article{8007ee22fc3a459c8d1f196d9358435f,
title = "What determines forecasters{\textquoteright} forecasting errors?",
abstract = "This paper contributes to the growing body of literature in macroeconomics and finance on expectation formation and information processing by analyzing the relationship between expectation formation at the individual level and the prediction of macroeconomic aggregates. Using information from business tendency surveys, we present a new approach of analyzing forecasters{\textquoteright} qualitative forecasting errors. Based on a quantal response approach with misclassification, we define forecasters{\textquoteright} qualitative mispredictions in terms of deviations from the qualitative rational expectation forecast, and relate them to the individual and macro factors that are driving these mispredictions. Our approach permits a detailed analysis of individual forecasting decisions, allowing for the introduction of individual and economy-wide determinants that affect the individual forecasting error process.",
keywords = "Expectations, Forecasting errors, GLARMA, Misclassification, Tendency survey",
author = "Ingmar Nolte and Sandra Nolte and Winfried Pohlmeier",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in International Journal of Forecasting. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Journal of Forecasting, 35, 1, 2018 DOI: 10.1016/j.ijforecast.2018.07.007",
year = "2019",
month = jan
doi = "10.1016/j.ijforecast.2018.07.007",
language = "English",
volume = "35",
pages = "11--24",
journal = "International Journal of Forecasting",
issn = "0169-2070",
publisher = "Elsevier Science B.V.",
number = "1",

}

RIS

TY - JOUR

T1 - What determines forecasters’ forecasting errors?

AU - Nolte, Ingmar

AU - Nolte, Sandra

AU - Pohlmeier, Winfried

N1 - This is the author’s version of a work that was accepted for publication in International Journal of Forecasting. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Journal of Forecasting, 35, 1, 2018 DOI: 10.1016/j.ijforecast.2018.07.007

PY - 2019/1

Y1 - 2019/1

N2 - This paper contributes to the growing body of literature in macroeconomics and finance on expectation formation and information processing by analyzing the relationship between expectation formation at the individual level and the prediction of macroeconomic aggregates. Using information from business tendency surveys, we present a new approach of analyzing forecasters’ qualitative forecasting errors. Based on a quantal response approach with misclassification, we define forecasters’ qualitative mispredictions in terms of deviations from the qualitative rational expectation forecast, and relate them to the individual and macro factors that are driving these mispredictions. Our approach permits a detailed analysis of individual forecasting decisions, allowing for the introduction of individual and economy-wide determinants that affect the individual forecasting error process.

AB - This paper contributes to the growing body of literature in macroeconomics and finance on expectation formation and information processing by analyzing the relationship between expectation formation at the individual level and the prediction of macroeconomic aggregates. Using information from business tendency surveys, we present a new approach of analyzing forecasters’ qualitative forecasting errors. Based on a quantal response approach with misclassification, we define forecasters’ qualitative mispredictions in terms of deviations from the qualitative rational expectation forecast, and relate them to the individual and macro factors that are driving these mispredictions. Our approach permits a detailed analysis of individual forecasting decisions, allowing for the introduction of individual and economy-wide determinants that affect the individual forecasting error process.

KW - Expectations

KW - Forecasting errors

KW - GLARMA

KW - Misclassification

KW - Tendency survey

U2 - 10.1016/j.ijforecast.2018.07.007

DO - 10.1016/j.ijforecast.2018.07.007

M3 - Journal article

VL - 35

SP - 11

EP - 24

JO - International Journal of Forecasting

JF - International Journal of Forecasting

SN - 0169-2070

IS - 1

ER -