Forecasters and rationality:a comment on Fritsche et al., Forecasting the Brazilian Real and Mexican Peso: Asymmetric loss, forecast rationality and forecaster herding.

Fildes, Robert (2015) Forecasters and rationality:a comment on Fritsche et al., Forecasting the Brazilian Real and Mexican Peso: Asymmetric loss, forecast rationality and forecaster herding. International Journal of Forecasting, 31 (1). pp. 140-143. ISSN 0169-2070

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Abstract

In this commentary stimulated by Fritsche et al.’s (2014) paper on ‘‘Forecasting the Brazilian Real and Mexican Peso’’ and the implications for forecast rationality, I first survey the literature on forecaster behaviour, and conclude that organisational and psychological factors heavily influence the characteristics of the forecasters’ errors in any particular application. Econometric models cannot decompose the error into these potential sources, due to their reliance on non-experimental data. An interdisciplinary research strategy of triangulation is needed if we are to improve both our understanding of forecaster behaviour and the value of such forecasts.

Item Type: Journal Article
Journal or Publication Title: International Journal of Forecasting
Additional Information: The final, definitive version of this article has been published in the Journal, International Journal of Forecasting 31 (1), 2015, © ELSEVIER. DOI#10.1016/j.ijforecast.2014.01.003
Uncontrolled Keywords: /dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
Departments: Lancaster University Management School > Management Science
ID Code: 73345
Deposited By: ep_importer_pure
Deposited On: 09 Apr 2015 08:45
Refereed?: Yes
Published?: Published
Last Modified: 25 Feb 2020 07:21
URI: https://eprints.lancs.ac.uk/id/eprint/73345

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