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Predicting the signs of forecast errors

✍ Scribed by Nazaria Solferino; Robert Waldmann

Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
71 KB
Volume
29
Category
Article
ISSN
0277-6693

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✦ Synopsis

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 Β© 2009 John Wiley & Sons, Ltd.

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