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Predicting the signs of forecast errors

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Author Info

  • Nazaria Solferino

    (University of Rome 'Tor Vergata', Rome, Italy)

  • Robert Waldmann

    (University of Rome 'Tor Vergata', Rome, Italy)

Abstract

The signs of forecast errors can be predicted using the difference between individuals' forecasts and the average of earlier forecasts of the same variable. It is possible to improve forecasts without worsening any. It is difficult to reconcile this result with the rational expectations hypothesis because the average of earlier forecasts is in the information set of the forecasters. Copyright © 2009 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1139
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 29 (2010)
Issue (Month): 5 ()
Pages: 476-485

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Handle: RePEc:jof:jforec:v:29:y:2010:i:5:p:476-485

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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  1. Steven P. Peterson, 2001. "Rational Bias In Yield Curve Forecasts," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 457-464, August.
  2. Graham Elliott & Ivana Komunjer & Allan Timmermann, 2008. "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?," Journal of the European Economic Association, MIT Press, vol. 6(1), pages 122-157, 03.
  3. Ehrbeck, Tilman & Waldmann, Robert, 1996. "Why Are Professional Forecasters Biased? Agency versus Behavioral Explanations," The Quarterly Journal of Economics, MIT Press, vol. 111(1), pages 21-40, February.
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Blog mentions

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  1. I am storing pdf's at google sites so you can see my research
    by Robert in Robert's Stochastic Thoughts on 2009-03-16 11:09:00
  2. Photographing Phantom Invisible Bond Vigilantes
    by Robert in angry bear on 2009-11-22 13:02:00

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