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Sensitivity to autocorrelation in judgmental time series forecasting

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  • Reimers, Stian
  • Harvey, Nigel

Abstract

How well can people use autocorrelation information when making judgmental forecasts? In Experiment 1, participants forecast from 12 series in which the autocorrelation varied within subjects. The participants showed a sensitivity to the degree of autocorrelation. However, their forecasts indicated that they implicitly assumed positive autocorrelation in uncorrelated time series. Experiments 2 and 2a used a one-shot single-trial between-subjects design and obtained similar results. Experiment 3 investigated the way in which the between-trials context influenced forecasting. The results showed that forecasts are affected by the characteristics of previous series, as well as those of the series from which forecasts are to be made. Our findings can be accommodated within an adaptive approach. Forecasters base their initial expectations of series characteristics on their past experience and modify these expectations in a pseudo-Bayesian manner on the basis of their analysis of those characteristics in the series to be forecast.

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  • Reimers, Stian & Harvey, Nigel, 2011. "Sensitivity to autocorrelation in judgmental time series forecasting," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1196-1214, October.
    • Handle: RePEc:eee:intfor:v:27:y:2011:i:4:p:1196-1214
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    References listed on IDEAS

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