Type of Publication: | Journal article |
Publication status: | Published |
Author: | Nolte, Ingmar; Nolte, Sandra; Pohlmeier, Winfried |
Year of publication: | 2019 |
Published in: | International Journal of Forecasting ; 35 (2019), 1. - pp. 11-24. - ISSN 0169-2070. - eISSN 1872-8200 |
DOI (citable link): | https://dx.doi.org/10.1016/j.ijforecast.2018.07.007 |
Summary: |
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.
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Subject (DDC): | 330 Economics |
Keywords: | Expectations, Tendency survey, Forecasting errors, Misclassification, GLARMA |
Bibliography of Konstanz: | Yes |
Refereed: | Yes |
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NOLTE, Ingmar, Sandra NOLTE, Winfried POHLMEIER, 2019. What determines forecasters' forecasting errors?. In: International Journal of Forecasting. 35(1), pp. 11-24. ISSN 0169-2070. eISSN 1872-8200. Available under: doi: 10.1016/j.ijforecast.2018.07.007
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