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
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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 - 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 -