Modeling   Forecasting   Planning
News   Events   Reviews   Analysis


Correcting Formula of Forecasting

Modeling   Forecasting   Planning
  (Forecasting, MFP)
(working papers mainly)
See also Forecasting, MFP metadata

Contents   (in new windows)

1.   News
2.   Reviews & Analyses
3.   Items' Events
( 2015   2014   2013   2012   2011   2010   2009   2008   2007   )
4.   Problems
5.   New Principle of Modeling, Forecasting, Planning -
      Principle of Uncertain Future

6.   New Results. Solution of Problems
      6.1.   Solution of Problems
      6.2.   Correcting Formula of Forecasting


------------------------------------------------------------------------


F ≅ Fbase {1+Σφaddit} {∏(1+kmultiplicat)} {1±Δerror}

more

------------------------------------------------------------------------

1. Forecasting News (more)

Quarter News (2015 quarter 2)

Top institutions in the field of Forecasting:

      1. (1,87)   European Central Bank    

      2. (2,62)   Department of Economics, Harvard University    

      3. (3,21)   Economics Department, University of Wisconsin-Madison


Top authors in the field of Forecasting:

      1. (3,08)   Kenneth S Rogoff    

      2. (4,86)   Kenneth D. West    

      3. (4,92)   Philip Hans Franses    


New works:

Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
from School of Economics and Management, University of Aarhus
Abstract     Text

Oil Price Forecastability and Economic Uncertainty
Stelios Bekiros, Rangan Gupta and Alessia Paccagnini
from University of Pretoria, Department of Economics
Abstract     Text

The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling
Joshua Chan
from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
Abstract     Text

Forecasting the yield curve: art or science?
Tomas K. Molenaars, Nick H. Reinerink and Marcus Hemminga
from University Library of Munich, Germany
Abstract     Text

Year News (2014)

Top 2014 institutions in the field of Forecasting
(#, (rank), name):

      1. (2,06)   European Central Bank    

      2. (2,13)   Economics Department, University of Wisconsin-Madison    

      3. (3,32)   Department of Economics, Harvard University

      4. (4,68)   International Monetary Fund (IMF)    

      5. (5,32)   Department of Economics, Oxford University

      6. (6,06)   Faculteit der Economische Wetenschappen,
Erasmus Universiteit Rotterdam
   

      7. (8,94)   Department of Economics, University of Pennsylvania    

      8. (9,78)   Federal Reserve Board
(Board of Governors of the Federal Reserve System)
   

      9. (10,43)   Federal Reserve Bank of St. Louis    

      10. (12,17)   Business School, University of Technology Sydney    


Top 2014 authors in the field of Forecasting
(#, (rank), name):

      1. (4,21)   Kenneth S Rogoff    

      2. (4,28)   Bruce E. Hansen    

      3. (4,839)   Philip Hans Franses

      4. (4,840)   Kenneth D. West    

      5. (5,05)   John Geweke    

      6. (7,39)   David F. Hendry    

      7. (7,95)   Todd Clark    

      8. (9,47)   Allan Timmermann    

      9. (10,54)   Hal Ronald Varian    

      10. (10,65)   Lucrezia Reichlin    


Top
------------------------------------------------------------------------

2. Modeling Forecasting Planning
Reviews & Analyses


The Oxford Handbook of Economic Forecasts
Alastair R. Hall
Journal of Time Series Analysis     2012
Abstract

The Oxford Handbook of Economic Forecasting
Michael Peter Clements and David F. Hendry
OUP Catalogue from Oxford University Press     2011
Abstract

Principles of Forecasting:
A Handbook for Researchers and Practitioners

J. Scott Armstrong
Wharton School, University of Pennsylvania
Content

Handbook of Economic Forecasting
G. Elliott, C. Granger and A. Timmermann
Handbook of Economic Forecasting from Elsevier     2006
Title

------------------------------------------------------------------------

3. Modeling Forecasting Planning
Items' Events

Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
from School of Economics and Management, University of Aarhus
Abstract     Text

Oil Price Forecastability and Economic Uncertainty
Stelios Bekiros, Rangan Gupta and Alessia Paccagnini
from University of Pretoria, Department of Economics
Abstract     Text

The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling
Joshua Chan
from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
Abstract     Text

Forecasting the yield curve: art or science?
Tomas K. Molenaars, Nick H. Reinerink and Marcus Hemminga
from University Library of Munich, Germany
Abstract     Text

Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts
Bidong Liu, Jakub Nowotarski, Tao Hong and Rafal Weron
from Hugo Steinhaus Center, Wroclaw University of Technology
Abstract     Text

Systematic Errors in Growth Expectations over the Business Cycle
Jonas Dovern and Nils Jannsen
from Kiel Institute for the World Economy
Abstract     Text

Financial Crises and Forecasting Failures
Roy Batchelor
in Foresight: The International Journal of Applied Forecasting
Abstract     Text

On the accuracy of Blue Chip forecasts of interest rates and country risk premiums
Hamid Baghestani, Mohammad Arzaghi and Ilker Kaya
in Applied Economics
Abstract     Text

Determination of the distribution of flood forecasting error
Determination of the distribution of flood forecasting error
in Natural Hazards
Abstract     Text

Forecasters and rationality—A comment on Fritsche et al., Forecasting the Brazilian Real and Mexican Peso: Asymmetric loss, forecast rationality and forecaster herding
Robert Fildes
in International Journal of Forecasting
Abstract     Text

Reproducibility in forecasting research
John E. Boylan, Paul Goodwin, Maryam Mohammadipour and Aris A. Syntetos
in International Journal of Forecasting
Abstract     Text

On the Difficulty of Measuring Forecasting Skill in Financial Markets
Stephen E. Satchell and Oliver J. Williams
in Journal of Forecasting
Abstract     Text

Model Uncertainty and Forecast Combination in High?Dimensional Multivariate Volatility Prediction
Alessandra Amendola and Giuseppe Storti
in Journal of Forecasting
Abstract     Text

A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility
Heejoon Han, Myung D. Park and Shen Zhang
in Journal of Forecasting
Abstract     Text

The distribution of inflation forecast errors
Edward N. Gamber, Jeffrey P. Liebner and Julie K. Smith
in Journal of Policy Modeling
Abstract     Text

The nature and impact of the market forecasting errors in the Federal funds futures market
Kwamie Dunbar and Abu S. Amin
in The North American Journal of Economics and Finance
Abstract     Text

Commodity price changes and the predictability of economic policy uncertainty
Yudong Wang, Bing Zhang, Xundi Diao and Chongfeng Wu
in Economics Letters
Abstract     Text

Forecasting method for noisy demand
Liljana Ferbar Tratar
in International Journal of Production Economicsv
Abstract     Text

Measuring Inflation Forecast Uncertainty
Edward Knotek, Saeed Zaman and Todd Clark
in Economic Commentary
Abstract     Text

Nested forecast model comparisons: A new approach to testing equal accuracy
Todd Clark and Michael W. McCracken
in Journal of Econometrics
Abstract     Text

Robust approaches to forecasting
Jennifer L. Castle, Michael Clements and David Hendry
in International Journal of Forecasting
Abstract     Text

Near-Rational Expectations: How Far Are Surveys from Rationality?
Sergey Ivashchenko
from European University at St. Petersburg, Department of Economics
Abstract     Text

2014

Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach
Gustavo Fruet Dias and Fotis Papailias
School of Economics and Management, University of Aarhus
Abstract     Text

Combined Density Nowcasting in an uncertain economic environment
Knut Are Aastveit, Francesco Ravazzolo and Herman K. van Dijk
Norges Bank
Abstract     Text

Range-based Volatility Estimation and Forecasting
Daniel Bencik
Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
Abstract     Text

Modeling and Forecasting Volatility – How Reliable are modern day approaches?
Anirudh Mehta and Kunal Kanishka
University Library of Munich, Germany
Abstract     Text

Assessing Point Forecast Accuracy by Stochastic Error Distance
Francis Diebold and Minchul Shin
Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
Abstract     Text

Economic theory and forecasting: lessons from the literature
Raffaella Giacomini
C.E.P.R. Discussion Papers
Abstract     Text

On the Sources of Uncertainty in Exchange Rate Predictability
Joseph P. Byrne, Dimitris Korobilis and Pinho J. Ribeiro
University Library of Munich, Germany
Abstract     Text

Understanding Uncertainty Shocks and the Role of Black Swans
Anna Orlik and Laura Veldkamp
C.E.P.R. Discussion Papers
Abstract     Text

Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers
Bernardina Algieri and Matthias Kalkuhl
University of Bonn, Center for Development Research (ZEF)
Abstract     Text

Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Tae Hwy Lee, Yundong Tu and Aman Ullah
University of California at Riverside, Department of Economics
Abstract     Text

Density Forecast Evaluation in Unstable Environments
Gloria Gonzalez-Rivera and Yingying Sun
University of California at Riverside, Department of Economics
Abstract     Text

Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?
Rangan Gupta, Shawkat Hammoudeh, Mampho P. Modise and Duc Khuong Nguyen
Department of Research, Ipag Business School
Abstract     Text

ESTIMATION OF VECTOR ERROR CORRECTION MODEL WITH GARCH ERRORS: MONTE CARLO SIMULATION AND APPLICATIONS
Kusdhianto Setiawan and Koichi Maekawa
EcoMod
Abstract     Text

The role in index jumps and cojumps
in forecasting stock index volatility:
Evidence from the Dow Jones index

Adam Clements and Yin Liao
National Centre for Econometric Research
Abstract     Text

On Forecast Evaluation
Wilmer Osvaldo Martinez-Rivera, Manuel Dario Hernandez-Bejarano and Juan Manuel Julio-Roman
BANCO DE LA REPUBLICA
Abstract     Text

M1 and M2 indicators - new proposed measures
for the global accuracy of forecast intervals

Mihaela Simionescu
Computational Methods in Social Sciences (CMSS)
Abstract     Text

Can Economic Uncertainty, Financial Stress
and Consumer Senti-ments Predict U.S. Equity Premium?

Rangan Gupta, Shawkat Hammoudeh, Mampho P. Modise and Duc Khuong Nguyen
Department of Research, Ipag Business School
Abstract     Text

Forecast Rationality Tests in the Presence of Instabilities,
With Applications to Federal Reserve and Survey Forecasts

Barbara Rossi and Tatevik Sekhposyany
Barcelona Graduate School of Economics
Abstract     Text

Multi-step forecasting in the presence of breaks
Jari Hannikainen
University Library of Munich, Germany
Abstract     Text

Do We Need New Modelling Approaches in Macroeconomics?
Claudia M. Buch and Oliver Holtemoller
Halle Institute for Economic Research
Abstract     Text

Does Debt Ceiling and Government Shutdown Help
in Forecasting the US Equity Risk Premium?

Goodness Aye, Frederick Deale and Rangan Gupta
University of Pretoria, Department of Economics
Abstract

General correcting formulae for forecasts
Alexander Harin
University Library of Munich, Germany
Abstract     Text

Forecasting with the Standardized Self-Perturbed Kalman Filter
Stefano Grassi, Nima Nonejad and Paolo Santucci de Magistris
School of Economics and Management, University of Aarhus
Abstract     Text

Theoretical guidelines for a partially informed forecast examiner
Alexander Tsyplakov
University Library of Munich, Germany
Abstract     Text

Forecasting Bankruptcy with Incomplete Information
Xin Xu
University Library of Munich, Germany
Abstract     Text

Model Averaging in Predictive Regressions
Chu-An Liu and Biing-Shen Kuo
University Library of Munich, Germany
Abstract     Text

Adaptive forecasting in the presence of recent and ongoing structural change
Liudas Giraitis, George Kapetanios and Simon Glover Price
Bank of England
Abstract     Text

Assessing Point Forecast Accuracy by Stochastic Divergence from Zero
Francis Diebold and Minchul Shin
Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
Abstract     Text

Forecasts and Reactivity
Reto Cueni and Bruno S. Frey
Center for Research in Economics, Management and the Arts (CREMA)
Abstract     Text

Analysis of forecast errors in micro-level survey data
Maritta Paloviita and Matti Viren
Bank of Finland
Abstract     Text

Exchange Rate Predictability in a Changing World
Joseph P. Byrne, Dimitris Korobilis and Pinho J. Ribeiro
University Library of Munich, Germany
Abstract     Text

Golden Rule of Forecasting: Be conservative
J. Scott Armstrong, Kesten C. Green and Andreas Graefe
University Library of Munich, Germany
Abstract     Text

Estimates of uncertainty around budget forecasts
John Clark, Caroline Gibbons, Susan Morrissey, Joshua Pooley, Emily Pye, Rhett Wilcox and Luke Willard
Treasury, Australian Government
Abstract     Text

Revenue Forecast Errors in the European Union
Antonio Afonso and Rui Carvalho
ISEG - School of Economics and Management, Department of Economics, University of Lisbon
Abstract     Text

Top
2013

Growth Forecast Errors and Government Investment
and Consumption Multipliers

Branimir Jovanovic
Tor Vergata University, CEIS
Abstract     Text

What Is the Best Risk Measure in Practice?
A Comparison of Standard Measures

Suzanne Emmer, Marie Kratz and Dirk Tasche
HAL
Abstract     Text

Finding a Connection Between Exchange Rates and Fundamentals,
How Should We Model Revisions to Forecasting Strategies?

Peter H. Sullivan
Job Market Papers
Abstract     Text

Forecasting and Tracking Real-Time Data Revisions
in Inflation Persistence

Heather L.R. Tierney
University Library of Munich, Germany
Abstract     Text

Fundamental Equation of Economics
James J. Wayne
University Library of Munich, Germany
Abstract     Text

Time Stamp Errors and the Stock Price Reaction
to Analyst Recommendation and Forecasts Revisions

Daniel Hoechle, nic Schaub and Markus Schmid
University of St. Gallen, School of Finance
Abstract     Text

Detecting and Forecasting Large Deviations and Bubbles
in a Near-Explosive Random Coefficient Model

Anurag Narayan Banerjee, Guillaume Chevillon and Marie Kratz
HAL
Abstract     Text

Currency forecast errors at times of low interest rates:
evidence from survey data on the Yen/Dollar exchange rate

Ronald MacDonald and Jun Nagayasu
University of Strathclyde Business School, Department of Economics
Abstract     Text

Using Common Features to Understand the Behavior
of Metal-Commodity Prices and Forecast them at Different Horizons

Joao Victor Issler, Claudia Rodrigues and Rafael Burjack
FGV/EPGE Escola Brasileira de Economia e Financas, Getulio Vargas Foundation (Brazil)
Abstract     Text

Forecasting daily and monthly exchange rates
with machine learning techniques

Theophilos Papadimitriou, Periklis Gogas and Vasilios Plakandaras
Democritus University of Thrace, Department of Economics
Abstract     Text

Labour market forecasting: is disaggregation useful?
Enzo Weber and Gerd Zika
Institut fur Arbeitsmarkt- und Berufsforschung (IAB), Nurnberg [Institute for Employment Research, Nuremberg, Germany]
Abstract     Text

Can Economic Uncertainty, Financial Stress
and Consumer Sentiments Predict U.S. Equity Premium?

Rangan Gupta, Shawkat Hammoudeh, Mampho P. Modise and Duc Khuong Nguyen
Department of Research, Ipag Business School
Abstract     Text

Uncertainty and heterogeneity in factor models forecasting
Matteo Luciani and Libero Monteforte
Bank of Italy, Economic Research and International Relations Area
Abstract     Text

Financial Analysts' Forecast Accuracy:
Do valuation methods matter?

Elisa Cavezzali and Ugo Rigoni
Department of Management, Universita Ca' Foscari Venezia
Abstract     Text

A Survey of Recent Advances in Forecast Accuracy Comparison Testing,
with an Extension to Stochastic Dominance

Valentina Corradi and Norman Rasmus Swanson
Rutgers University, Department of Economics
Abstract     Text

Are Product Spreads Useful for Forecasting?
An Empirical Evaluation of the Verleger Hypothesis

Christiane Baumeister, Lutz Kilian and Xiaoqing Zhou
C.E.P.R. Discussion Papers
Abstract     Text

Exchange Rate Predictability
Barbara Rossi
C.E.P.R. Discussion Papers
Abstract     Text

THE ASSESSMENT AND IMPROVEMENT OF THE ACCURACY
FOR THE FORECAST INTERVALS

Mihaela Bratu
Institute for Economic Forecasting
Abstract     Text

Asking the Oracle:
Introducing Forecasting Principles into Agent-Based Modelling

Samer Hassan, Javier Arroyo, JosA© Manuel GalA?n, Luis Antunes and Juan Pavon
Journal of Artificial Societies and Social Simulation
Abstract     Text

Risk Modelling and Management: An Overview
Chia-Lin Chang, David E. Allen, Michael McAleer and Teodosio Perez Amaral
Tinbergen Institute
Abstract     Text

Forecasting GDP Growth
Using Mixed-Frequency Models With Switching Regimes

Fady Barsoum and Sandra Stankiewicz
Department of Economics, University of Konstanz
Abstract     Text

The impact of forecasting errors on warehouse labor efficiency:
A case study in consumer electronics

T.Y. Kim, Rommert Dekker and C. Heij
Erasmus University Rotterdam, Econometric Institute
Abstract     Text

Analyzing Fixed-Event Forecast Revisions
Chia-Lin Chang, Bert de Bruijn, Philip Hans Franses and Michael McAleer
Tinbergen Institute
Abstract     Text

Are Forecast Updates Progressive?
Chia-Lin Chang, Philip Hans Franses and Michael McAleer
Tinbergen Institute
Abstract     Text

Evaluation of Probabilistic Forecasts:
Proper Scoring Rules and Moments

Alexander Tsyplakov
University Library of Munich, Germany
Abstract     Text

Measuring Inaccuracy in Travel Demand Forecasting:
Methodological Considerations Regarding Ramp Up and Sampling

Bent Flyvbjerg
arXiv.org
Abstract     Text

Unpredictability in Economic Analysis,
Econometric Modeling and Forecasting

David F. Hendry and Grayham E. Mizon
Economics Group, Nuffield College, University of Oxford
Abstract     Text

Martingale unobserved component models
Neil Shephard
University of Oxford, Department of Economics
Abstract     Text

A survey of econometric methods for mixed-frequency data
Claudia Foroni and Massimiliano Marcellino
Norges Bank
Abstract     Text

Short-term GDP forecasting with a mixed frequency
dynamic factor model with stochastic volatility

Massimiliano Marcellino, Mario Porqueddu and Fabrizio Venditti
C.E.P.R. Discussion Papers
Abstract     Text

Meaning and measurement of national accounts statistics
Frits Bos
University Library of Munich, Germany
Abstract     Text

Growth Forecast Errors and Fiscal Multipliers
Olivier Blanchard and Daniel Leigh
National Bureau of Economic Research, Inc
Abstract     Text

Can analyst predict stock market crashes?
Terence T. L. Chong and Xiaolei Wang
Economics Bulletin
Abstract     Text

Model Switching and Model Averaging
in Time-Varying Parameter Regression Models

Miguel Angel Gonzalez Belmonte and Gary Koop
University of Strathclyde Business School, Department of Economics
Abstract     Text

On the relation between forecast precision
and trading profitability of financial analysts

Carlo Marinelli and Alex Weissensteiner
arXiv.org
Abstract     Text

Top
------------------------------------------------------------------------
2012

Accuracy of congestion pricing forecasts
Jonas Eliasson, Dirk van Amelsfort, Maria Borjesson, Karin Brundell-Freij and Leonid Engelson
CTS - Centre for Transport Studies Stockholm (KTH and VTI)
Abstract     Text

Investigating Impacts of Self-Exciting Jumps in Returns and Volatility:
A Bayesian Learning Approach

Andras Fulop, Junye Li and Jun Yu
Institute of Economic Research, Hitotsubashi University
Abstract     Text

The failure to predict the Great Recession.
The failure of academic economics?
A view focusing on the role of credit

Maria Dolores Gadea Rivas and Gabriel Perez-Quiros
C.E.P.R. Discussion Papers
Abstract     Text

On the relationship between individual and group decisions
Joel Sobel
Theoretical Economics
Abstract     Text

Bayesian Forecasting with Highly Correlated Predictors
Dimitris Korobilis
The Rimini Centre for Economic Analysis
Abstract     Text

Open-economy Inflation Targeting Policies and Forecast Accuracy
Alessandro Flamini
University of Pavia, Department of Economics and Management
Abstract     Text

Estimates of Uncertainty around the RBA's Forecasts
Peter Tulip and Stephanie Wallace
Reserve Bank of Australia
Abstract     Text

A Comparative Analysis of Health Forecasting Methods
Roberto Astolfi, Luca Lorenzoni and Jillian Oderkirk
OECD Publishing
Abstract     Text

Forecasting Volatility with the Realized Range
in the Presence of Noise and Non-Trading

K. Bannouh, M.P.E. Martens and D.J.C. van Dijk
Erasmus Research Institute of Management (ERIM),
Abstract     Text

Forecast robustness in macroeconometric models
Gunnar Bardsen, Dag Kolsrud, and Ragnar Nymoen
Department of Economics, Norwegian University of Science and Technology
Abstract     Text

Moving Average Stochastic Volatility Models
with Application to Inflation Forecast

Joshua C.C. Chan
Australian National University
Abstract     Text

Let's Do It Again: Bagging Equity Premium Predictors
Eric Hillebrand, Tae-Hwy Lee and Marcelo C. Medeiros
School of Economics and Management, University of Aarhus
Abstract     Text

Comparing Predictive Accuracy, Twenty Years Later:
A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

Francis Diebold
Penn Institute for Economic Research, Department of Economics
Abstract     Text

Fiscal forecast errors: governments vs independent agencies?
Rossana Merola and Javier J. Perez Garcia
Banco de EspaA±a
Abstract     Text

Evaluating the usefulness of forecasts of relative growth
Grant Jordan Allan
University of Strathclyde Business School, Department of Economics
Abstract

Non-Parametric Stochastic Simulations to Investigate Uncertainty
around the OECD Indicator Model Forecasts

Elena Rusticelli
OECD Publishing
Abstract     Text

Prediction Markets for Economic Forecasting
Erik Snowberg, Justin Wolfers and Eric Zitzewitz
Australian National University, Centre for Applied Macroeconomic Analysis
Abstract     Text

Nonlinearity, Breaks, and Long-Range Dependence
in Time-Series Models

Eric Hillebrand and Marcelo C. Medeiros
School of Economics and Management, University of Aarhus
Abstract     Text

Evaluating Macroeconomic Forecasts:
A Concise Review of Some Recent Developments

Philip Hans Franses, Michael McAleer and Rianne Legerstee
University of Canterbury, Department of Economics and Finance
Abstract     Text

How Should the Fed Report Uncertainty?
Ray C. Fair
Cowles Foundation for Research in Economics, Yale University
Abstract     Text

Is there an Optimal Forecast Combination?
A Stochastic Dominance Approach to Forecast Combination Puzzle

Mehmet Pinar, Thanasis Stengos and Ege Yazgan
The Rimini Centre for Economic Analysis
Abstract     Text

Uncertainty and Heterogeneity in factor models forecasting
Matteo Luciani and Libero Monteforte
Department of the Treasury, Ministry of the Economy and of Finance
Abstract     Text

Financial Markets Forecasts Revisited:
Are they Rational, Herding or Bold?

Ippei Fujiwara, Hibiki Ichiue, Yoshiyuki Nakazono and Yosuke Shigemi
Institute for Monetary and Economic Studies, Bank of Japan
Abstract     Text

Local Adaptive Multiplicative Error Models
for High-Frequency Forecasts

Wolfgang Karl Hardle, Nikolaus Hautsch and Andrija Mihoci
Humboldt University, Collaborative Research Center 649
Abstract     Text

Evaluating the forecast quality of GDP components:
An application to G7

Paulo Fernando Julio and Pedro M. Esperanca
Gabinete de Estrategia e Estudos, Ministerio da Economia e da Inovacao
Abstract     Text

Bayesian logistic betting strategy against probability forecasting
Masayuki Kumon, Jing Li, Akimichi Takemura and Kei Takeuchi
arXiv.org
Abstract     Text

The short term prediction of analysts' forecast error
Kris Boudt, Peter De Goeij, James Thewissen and Geert Van Campenhout
Hogeschool-Universiteit Brussel, Faculteit Economie en Management
Abstract     Text

Adaptive Forecasting in the Presence of Recent
and Ongoing Structural Change

Liudas Giraitis, George Kapetanios and Simon Glover Price
Queen Mary, University of London, School of Economics and Finance
Abstract     Text

Common Drifting Volatility in Large Bayesian VARs
Andrea Carriero, Todd Clark and Massimiliano Marcellino
C.E.P.R. Discussion Papers
Abstract     Text

Systemic Real and Financial Risks:
Measurement, Forecasting, and Stress Testing

Gianni De NicolA?, and Marcella Lucchetta
International Monetary Fund
Abstract     Text

A New Structural Break Model
with Application to Canadian Inflation Forecasting

John Maheu and Yong Song
University of Toronto, Department of Economics
Abstract     Text

Forecasting Value-at-Risk
Using Block Structure Multivariate Stochastic Volatility Models

Manabu Asai, Massimiliano Caporin and Michael McAleer
University of Canterbury, Department of Economics and Finance
Abstract     Text

Adaptive Forecasting in the Presence
of Recent and Ongoing Structural Change

Liudas Giraitis, George Kapetanios and Simon Price
Queen Mary, University of London, School of Economics and Finance
Abstract     Text

Common Drifting Volatility in Large Bayesian VARs
Andrea Carriero, Todd Clark and Massimiliano Marcellino
C.E.P.R. Discussion Papers
Abstract     Text

Empirical analysis of the forecast error impact of classical
and bayesian beta adjustment techniques

Pankaj Sinha and Prabha Jayaraman
University Library of Munich, Germany
Abstract     Text

On the forecast accuracy and consistency
of exchange rate expectations: The Spanish PwC Survey

Simon Sosvilla-Rivero and Maria del Carmen Ramos-Herrera
Asociacion Espanola de Economia y Finanzas Internacionales
Abstract     Text

The prediction of inflation in Romania in uncertainty conditions
BRATU Mihaela
EuroEconomica
Abstract     Text

Evaluating FOMC forecast ranges: an interval data approach
Henning Fischer, Marta Garcia-Barzana, Peter Tillmann and Peter Winker
Philipps-Universitat Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)
Abstract     Text

Probability Distributions or Point Predictions?
Survey Forecasts of US Output Growth and Inflation

Michael Peter Clements
University of Warwick, Department of Economics
Abstract     Text

Modelling and forecasting noisy realized volatility
Manabu Asai, Michael McAleer and Marcelo C. Medeiros
Computational Statistics & Data Analysis
Abstract     Text

Top
------------------------------------------------------------------------
2011

Optimal Forecasts in the Presence of Structural Breaks
M Hashem Pesaran, Andreas Pick and Mikhail Pranovich
Netherlands Central Bank, Research Department
Abstract     Text

Flexible Inflation Forecast Targeting: Evidence from Canada
Graham M Voss and Glenn D. Otto
Department of Economics, University of Victoria
Abstract

Estimating and forecasting structural breaks in financial time series
Luc Bauwens, Arnaud DUFAYS and Bruno DE BACKER
Universite catholique de Louvain, Center for Operations Research and Econometrics (CORE)
Abstract     Text

Assessing the information content of option-based volatility forecasts
using fuzzy regression methods

Silvia Muzzioli and Bernard De Baets
University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
Abstract

Do Experts incorporate Statistical Model Forecasts and should they?
Rianne Legerstee, Philip Hans Franses and Richard Paap
Tinbergen Institute
Abstract     Text

Incorporating theoretical restrictions
into forecasting by projection methods

Raffaella Giacomini and Giuseppe Ragusa
C.E.P.R. Discussion Papers
Abstract     Text

Disagreement, Uncertainty and the True Predictive Density
Fabian Kruger and Ingmar Nolte
Department of Economics, University of Konstanz
Abstract     Text

Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
Francesco Audrino and Yujia Hu
University of St. Gallen, School of Economics and Political Science
Abstract     Text

Testing interval forecasts: a GMM-based approach
Elena Ivona Dumitrescu, Christophe Hurlin and Jaouad Madkour
HAL
Abstract     Text

Forecasting volatility:
does continuous time do better than discrete time?

Carles Breto and Helena Veiga
Universidad Carlos III, Departamento de Estadistica y Econometria
Abstract     Text

Forecasting with Approximate Dynamic Factor Models:
the Role of Non-Pervasive Shocks

Matteo Luciani
ULB -- Universite Libre de Bruxelles
Abstract     Text

Forecasting Under Strucural Break Uncertainty
Jing Tian and Heather M. Anderson
Monash University, Department of Econometrics and Business Statistics
Abstract     Text

Forecasting in the presence of recent structural change
Jana Eklund, George Kapetanios and Simon Glover Price
Australian National University, Centre for Applied Macroeconomic Analysis
Abstract     Text

The Contribution of Structural Break Models
to Forecasting Macroeconomic Series

Luc Bauwens, Gary Koop, Dimitris Korobilis and Jeroen VK Rombouts
Rimini Centre for Economic Analysis
Abstract     Text

What does financial volatility tell us about macroeconomic fluctuations?
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
University Library of Munich, Germany
Abstract     Text

Analyzing Fixed-event Forecast Revisions
Michael McAleer, Philip Hans Franses and Chia-Lin Chang
Kyoto University, Institute of Economic Research
Abstract     Text

Evaluating Individual and Mean Non-Replicable Forecasts
Chia-Lin Chang, Philip Hans Franses and Michael McAleer
Kyoto University, Institute of Economic Research
Abstract     Text

Are realized volatility models good candidates
for alternative Value at Risk prediction strategies?

Dimitrios P. Louzis, Spyros Xanthopoulos-Sisinis and Apostolos P. Refenes
University Library of Munich, Germany
Abstract     Text

Forecasting macroeconomic variables using disaggregate survey data
Kjetil Martinsen, Francesco Ravazzolo and Fredrik Wulfsberg
Norges Bank
Abstract     Text

GDP Modelling with Factor Model:
an Impact of Nested Data on Forecasting Accuracy

Andrejs Bessonovs
University Library of Munich, Germany
Abstract     Text

Forecasting Equicorrelation
Adam Clements, Christopher A Coleman-Fenn and Daniel R. Smith
National Centre for Econometric Research
Abstract     Text

Forecasting Inflation Using Dynamic Model Averaging
Gary Koop and Dimitris Korobilis
University of Strathclyde Business School, Department of Economics
Abstract     Text

Forecasting correlations during the late-2000s financial crisis:
short-run component, long-run component, and structural breaks

Francesco Audrino
University of St. Gallen, School of Economics and Political Science
Abstract     Text

Forecasting with Medium and Large Bayesian VARs
Gary Koop University of Strathclyde Business School, Department of Economics
Abstract     Text

A comparison of Forecasting Procedures for Macroeconomic Series:
The Contribution of Structural Break Models

Luc Bauwens, Gary Koop, Dimitris Korobilis and Jeroen Rombouts
University of Strathclyde Business School, Department of Economics
Abstract     Text

Evaluating Macroeconomic Forecasts:
A Review of Some Recent Developments

Philip Hans Franses, Michael McAleer and Rianne Legerstee
Kyoto University, Institute of Economic Research
Abstract     Text

Forecasting Performance of Alternative Error Correction Models
Javed Iqbal
University Library of Munich, Germany
Abstract     Text

A Century of Inflation Forecasts
Antonello D'Agostino and Paolo Surico
C.E.P.R. Discussion Papers
Abstract     Text

Are Forecast Updates Progressive?
Chia-Lin Chang, Philip Hans Franses and Michael McAleer
Kyoto University, Institute of Economic Research
Abstract     Text

The value of feedback in forecasting competitions
George Athanasopoulos and Rob J Hyndman
Monash University, Department of Econometrics and Business Statistics
Abstract     Text

An Alternative Bayesian Approach to Structural Breaks
in Time Series Models

Sjoerd van den Hauwe, Richard Paap and Dick van Dijk
Tinbergen Institute Keywords: Structural breaks
Abstract     Text

Bayesian VARs: Specification Choices and Forecast Accuracy
Andrea Carriero, Todd Clark and Massimiliano Marcellino
C.E.P.R. Discussion Papers
Abstract     Text

Modelling and Forecasting Noisy Realized Volatility
Manabu Asai, Michael McAleer and M. Medeiros
Erasmus University Rotterdam, Econometric Institute
Abstract     Text

The forecasting horizon of inflationary expectations
and perceptions in the EU. Is it really 12 months?

Lars Jonung and Staffan Linden
Lund University, Department of Economics
Abstract     Text

Forecast Rationality Tests Based on Multi-Horizon Bounds
Andrew Patton and Allan Timmermann
C.E.P.R. Discussion Papers
Abstract     Text

The sensitivity of the Scaled Model of Error
with respect to the choice of the correlation parameters:
A simulation study

Rebecca Graziani and Nico Keilman "Carlo F. Dondena" Centre for Research on Social Dynamics (DONDENA), Universita Commerciale Luigi Bocconi
Abstract     Text

Top
------------------------------------------------------------------------

2010

Probabilistic Forecasts of Volatility and its Risk Premia
Worapree Maneesoonthorn, Gael Margaret Martin, Catherine S. Forbes and Simone Grose
Monash University, Department of Econometrics and Business Statistics
Abstract     Text

Forecasting in the presence of recent structural change
Jana Eklund, George Kapetanios and Simon Price
Bank of England
Abstract     Text

Nowcasting
Marta Banbura, Domenico Giannone and Lucrezia Reichlin
European Central Bank
Abstract     Text

The links between in?ation and in?ation uncertainty
at the longer horizon

Alexander Tsyplakov
University Library of Munich, Germany
Abstract     Text

A Perspective on Predicting Currency Crises
Juan Yepez, Robert P. Flood and Nancy P. Marion
International Monetary Fund
Abstract     Text

Denoised Least Squares Forecasting of GDP Changes
Using Indexes of Consumer and Business Sentiment

Antonis A. Michis
Central Bank of Cyprus
Abstract     Text

Forecast Combination and Bayesian Model Averaging
- A Prior Sensitivity Analysis

Martin Feldkircher
University of Salzburg
Abstract     Text

Information or Institution?
– On the Determinants of Forecast Accuracy

Roland Dohrn and Christoph M. Schmidt
Rheinisch-Westfalisches Institut fur Wirtschaftsforschung, Ruhr-Universitat Bochum, Universitat Dortmund, Universitat Duisburg-Essen
Abstract     Text

The Role of Dynamic Specification in Forecasting Volatility
in the Presence of Jumps and Noisy High-Frequency Data

Rasmus Varneskov
School of Economics and Management, University of Aarhus
Abstract     Text

How Accurate are Government Forecasts of Economic Fundamentals?
The Case of Taiwan

Chia-Lin Chang, Philip Hans Franses and Michael McAleer
Kyoto University, Institute of Economic Research
Abstract     Text

Analyzing Macroeconomic Forecastability
Ray Fair
Cowles Foundation for Research in Economics, Yale University
Abstract     Text

Теорема о существовании разрывов в шкале вероятностей.
Дискретный случай

Alexander Harin
University Library of Munich, Germany
Abstract     Text

Forecasting volatility in the presence of Leverage Effect
Remi Rhodes, Vincent Vargas and Jean-Christophe Domenge
HAL
Abstract     Text

Econometric Studies of Business Cycles in the History of Econometrics
Duo Qin
Queen Mary, University of London, School of Economics and Finance
Abstract     Text

Theorem of existence of ruptures in probability scale.
Preliminary short version

Alexander Harin
University Library of Munich, Germany
Abstract     Text

Теорема о существовании разрывов в шкале вероятностей. II
Alexander Harin
University Library of Munich, Germany
Abstract     Text

On the forecasting accuracy of multivariate GARCH models
Sebastien Laurent, Jeroen VK Rombouts and Francesco Violante
Universite catholique de Louvain, Center for Operations Research and Econometrics (CORE)
Abstract     Text

Do Jumps Matter? Forecasting Multivariate Realized Volatility
allowing for Common Jumps

Yin Liao, Heather M. Anderson and Farshid Vahid
Monash University, Department of Econometrics and Business Statistics
Abstract     Text

Bias Correction and Out-of-Sample Forecast Accuracy
Hyeongwoo Kim and Nazif Durmaz
Department of Economics, Auburn University
Abstract     Text

Are Some Forecasters Really Better Than Others?
D’Agostino, Antonello, Kieran McQuinn and Karl T. Whelan
School Of Economics, University College Dublin
Abstract     Text

Measuring Output Gap Uncertainty
Anthony Garratt, James Mitchell and Shaun P. Vahey
C.E.P.R. Discussion Papers
Abstract     Text

Perspectives on Evaluating Macroeconomic Forecasts
Ullrich Heilemann and Herman O. Stekler
The George Washington University, Department of Economics, Research Program on Forecasting
Abstract     Text

Practice and Prospects of Medium-term Economic Forecasting
Torsten Schmidt, Helmut Hofer and Klaus Weyerstrass
Rheinisch-Westfalisches Institut fur Wirtschaftsforschung, Ruhr-Universitat Bochum, Universitat Dortmund, Universitat Duisburg-Essen
Abstract     Text

Can the Fed Predict the State of the Economy?
Tara M. Sinclair, Fred Joutz and Herman O. Stekler
The George Washington University, Department of Economics, Research Program on Forecasting
Abstract     Text

Seasonality, Forecast Extensions and Business Cycle Uncertainty
Tommaso Proietti
University Library of Munich, Germany
Abstract     Text

Теорема о существовании разрывов в шкале вероятностей
Alexander Harin
University Library of Munich, Germany
Abstract     Text

Systemic Risks and the Macroeconomy
De NicolA?, Gianni and Marcella Lucchetta
International Monetary Fund
Abstract     Text

Real-Time Data Revisions and the PCE Measure of Inflation
Heather L.R. Tierney
University Library of Munich, Germany
Abstract     Text

Forecasting with Factor-augmented Error Correction Models
Anindya Banerjee, Massimiliano Marcellino and Igor Masten
C.E.P.R. Discussion Papers
Abstract     Text

Has the Accuracy of German Macroeconomic Forecasts Improved?
Ullrich Heilemann and Herman O. Stekler
The George Washington University, Department of Economics, Research Program on Forecasting
Abstract     Text

Hedging: Scaling and the Investor Horizon
John Cotter and Jim Hanly
Geary Institute, University College Dublin
Abstract     Text

Predicting chaos with Lyapunov exponents:
Zero plays no role in forecasting chaotic systems

Dominique Guegan and Justin T. Leroux
HAL
Abstract     Text

Should Macroeconomic Forecasters Use
Daily Financial Data and How?

Elena Andreou, Eric Ghysels and Andros Kourtellos
Rimini Centre for Economic Analysis
Abstract     Text

How Risky Is the Value at Risk?
Roxana Halbleib (Chiriac) and Winfried Pohlmeier
Rimini Centre for Economic Analysis
Abstract     Text

Understanding Analysts' Earnings Expectations:
Biases, Nonlinearities and Predictability

Marco Aiolfi, Marius Rodriguez and Allan Timmermann
C.E.P.R. Discussion Papers
Abstract     Text

Top
------------------------------------------------------------------------

2009

Ruptures in the probability scale?
Calculation of ruptures’ dimensions

Alexander Harin
University Library of Munich, Germany
Abstract     Text

Forecasting Realized Volatility with Linear and Nonlinear Models
Michael McAleer and M.C. Medeiros
Erasmus University Rotterdam, Econometric Institut...
Abstract     Text

Forecasting long memory time series under a break in persistence
Florian Heinen, Philipp Sibbertsen and Robinson Kruse
School of Economics and Management, University of ...
Abstract     Text

Accuracy, Unbiasedness and Efficiency
of Professional Macroeconomic Forecasts:
An empirical Comparison for the G7

Jonas Dovern and Johannes Weisser
Friedrich-Schiller-University Jena, Max-Planck-Ins...
Abstract     Text

Nonlinearity, Nonstationarity, and Spurious Forecasts
Vadim Marmer
Microeconomics.ca Website
Abstract     Text

Constructing Forecast Confidence Bands During the Financial Crisis
Ondra Kamenik, Marianne Johnson, Kevin Clinton,
Huigang Chen and Douglas Laxton
International Monetary Fund
Abstract     Text

Real-time inflation forecasting in a changing world
Jan J. J. Groen and R. Paap
Erasmus University Rotterdam, Econometric Institut...
Abstract     Text

Forecasting chaotic systems:
The role of local Lyapunov exponents

Dominique Guegan and Justin Leroux
HAL
Abstract     Text

Analyzing Macroeconomic Forecastability
Ray C. Fair
Cowles Foundation, Yale University
Abstract     Text

Disagreement among Forecasters in G7 Countries
Jonas Dovern, Ulrich Fritsche and Jiri (Jirka) Slacalek
Hamburg University, Department Wirtschaft und Poli...
Abstract     Text

Macro modelling with many models
Ida Wolden Bache, James Mitchell,
Francesco Ravazzolo and Shaun P. Vahey
Norges Bank
Abstract     Text

UK Macroeconomic Forecasting with Many Predictors:
Which Models Forecast Best and When Do They Do So?

Gary Koop and Dimitris Korobilis
University of Strathclyde Business School, Departm...
Abstract     Text

Realising the future: forecasting with high frequency
based volatility (HEAVY) models

Neil Shephard and Kevin Sheppard
Economics Group, Nuffield College, University of O...
Abstract     Text

General correcting formula of forecasting?
Alexander Harin
University Library of Munich, Germany
Abstract     Text

Общая корректирующая формула прогнозирования
Alexander Harin
University Library of Munich, Germany
Abstract     Text

Forecasting the World Economy in the Short-Term
Audrone Jakaitiene and Stephane Dees
European Central Bank
Abstract     Text

Analyzing Macroeconomic Forecastability
Ray C. Fair
Cowles Foundation, Yale University
Abstract     Text

A nonparametric approach to forecasting realized volatility
Adam Clements and Ralf Becker
National Centre for Econometric Research
Abstract     Text

Estimating and Forecasting Asset Volatility
and Its Volatility: A Markov-Switching Range Model

Jan Piplack
Utrecht School of Economics
Abstract     Text

MONETARY POLICY FORECASTING
IN A DSGE MODEL WITH DATA THAT IS
UNCERTAIN, UNBALANCED AND ABOUT THE FUTURE

Andres Gonzalez Gomez, Lavan Mahadeva, Diego Rodriguez
and Luis Eduardo Rojas Duenas
BANCO DE LA REPUBLICA
Abstract     Text

Chaos in Economics and Finance
Dominique Guegan
HAL
Abstract     Text

Forecasting Random Walks under Drift Instability
M. Hashem Pesaran and Andreas Pick
Netherlands Central Bank, Research Department
Abstract     Text

Optimal Prediction Pools
John Geweke and Gianni Amisano
European Central Bank
Abstract     Text

Volatility Forecasting: The Jumps Do Matter
Fulvio Corsi, Davide Pirino and Roberto Reno
Institute of Economic Research, Hitotsubashi Unive...
Abstract     Text

Forecasting Errors: Yet More Problems for Identification?
Bruno Contini
Institute for the Study of Labor (IZA)
Abstract     Text

Top
------------------------------------------------------------------------

2008

A Small Quarterly Projection Model of the US Economy
Ondra Kamenik, Ioan Carabenciov, Igor Ermolaev,
Charles Freedman, Dmitry Korshunov, Douglas Laxton
and Michel Juillard
International Monetary Fund
Abstract     Text

The History of Manpower Forecasting in Modelling Labour Market
Stefano Spalletti
Macerata University, Department of Studies on Econ...
Abstract     Text

Forecasting Unemployment Rate Using a Neural Network
with Fuzzy Inference System

George Atsalakis, Camelia Ioana Ucenic and Christos Skiadas
University of Crete, Department of Economics
Abstract     Text

The Resolution of Macroeconomic Uncertainty:
Evidence from Survey Forecast

Andrew J. Patton and Allan Timmermannd
CREATES Research Papers
Abstract     Text

The Usefulness of Output Gaps for Policy Analysis
Isabell Koske and Nigel Pain
OECD Economics Department
Abstract     Text

Short-term forecasting of GDP using large monthly datasets
– A pseudo real-time forecast evaluation exercise

K. Barhoumi, S. Benk, R. Cristadoro, Ard Den Reijer, A. Jakaitiene,
P. Jelonek, A. Rua, K. Ruth, C. Van Nieuwenhuyze and Gerhard Runstler
National Bank of Belgium
Abstract     Text

The Continuing Puzzle of Short Horizon Exchange Rate Forecasting
Kenneth S Rogoff and Vania Stavrakeva
National Bureau of Economic Research, Inc
Abstract     Text

Forecasting Bankruptcy and Physical Default Intensity
Ping Zhou
Financial Markets Group
Abstract     Text

Complex Evolutionary Systems in Behavioral Finance
Cars Hommes and Florian Oskar Ottokar Wagener
Tinbergen Institute
Abstract     Text

Forecasting Realized Volatility: A Bayesian Model Averaging Approach
Chun Liu and John M. Maheu
University of Toronto, Department of Economics
Abstract     Text

A Review of Forecasting Techniques for Large Data Sets
Jana Eklund and George Kapetanios
Queen Mary, University of London, Department of Ec...
Abstract     Text

Forecasting chaotic systems: the role of local Lyapunov exponents
Dominique Guegan and Justin Leroux
HAL
Abstract     Text

Forecasting Economic and Financial Variables with Global VARs
M Hashem Pesaran, Til Schuermann and L. Vanessa Smit
Faculty of Economics, University of Cambridge
Abstract     Text

Top
------------------------------------------------------------------------

2007

A hybrid approach to combine fuzziness and randomness
in travel choice prediction

Dell'Orco, Mauro, Giovanni Circella and Domenico Sassanelli
European Journal of Operational Research
Title

Prospective analysis: guidelines for forecasting financial statements
Ignacio Velez-Pareja and Joseph Tham
UNIVERSIDAD TECNOLOGICA DE BOLIVAR
Abstract     Text

Endogenous Political Instability
Ryo Arawatari and Kazuo Mino
Osaka University, Graduate School of Economics and...
Abstract     Text

Exact prediction of inflation and unemployment in Japan
Ivan Kitov
University Library of Munich, Germany
Abstract     Text

Bayesian Analysis of Determinisitic Time Trend and Changes
in Persistence Using a Generalised Stochastic Unit Root Model

Fuyu Yang
Department of Economics, University of Leicester
Abstract     Text

The Dictator’s Dilemma: to Punish or to Assist?
Plan Failures and Interventions under Stalin

Andrei Markevich
Center for Economic and Financial Research (CEFIR)
Abstract     Text

Принцип неопределенного будущего
и его применения

А. Харин
СОЦИОНЕТ
About: Modeling, Forecasting, Planning and
the Principle of Uncertain Future.
Аннотация     Текст

Do People Plan?
John Bone, John D Hey and John Suckling
Department of Economics, University of York
Abstract     Text

Monetary Policy with Model Uncertainty:
Distribution Forecast Targeting

Lars E O Svensson and Noah Williams
C.E.P.R. Discussion Papers
Abstract

Can earnings forecasts be improved
by taking into account the forecast bias?

Karine Michalon, Sandrine Lardic and Francois Dossou
HAL, CCSD
Abstract     Text

Do People Plan?
John Bone, John Hey and John Suckling
MIUR Project on Dynamic Decision Making
Abstract
An Analysis of Tax Revenue Forecast Errors
Martin Keene and Peter Thomson
New Zealand Treasury
Abstract

Heavy tails and electricity prices:
Do time series models with non-Gaussian noise forecast better?

Rafal Weron and Adam Misiorek
University Library of Munich, Germany
Abstract     Text

Principle of uncertain future and utility
Alexander Harin
University Library of Munich, Germany
Abstract     Text

How far ahead can we forecast?
Evidence from cross-country surveys

Gultekin Isiklar and Kajal Lahiri
International Journal of Forecasting   2007
Abstract

How far ahead do people plan?
John D. Hey and Julia A. Knoll
Economics Letters   2007
Abstract


Top
------------------------------------------------------------------------

4. Problems of Modeling (more)

The well-determined (but paradoxical) facts are:
For positive (gains) risky prospects, people typically
        1) overweight low probabilities but
        2) underweight high probabilities.
For negative (losses) risky prospects, people typically
        3) underweight low probabilities but
        4) overweight high probabilities.
Top
------------------------------------------------------------------------

5. New Principle of Modeling, Forecasting, Planning (more)    
Principle of Uncertain Future
(simplified as much as possible)
The principle

The probability of a future event contains uncertainty.

5.1. The first consequence of the principle

Suppose we plan to test the probability value, which is equal to 99%.
Suppose the probability uncertainty value is equal to 5%.
Then, evidently, the real mean value of probability cannot be as high as 99%.
Generally,
High probabilities will decrease.
Phigh real < Phigh planned
Analogously, but considering the second consequence of the principle (see below),
Low probabilities can increase.
Plow real possible > Plow planned

5.2. The second consequence of the principle

The total probability of unforeseen future events
is more than 0%

Σ Punforeseen real > 0%
Hence,
The present total probability of future events
is less than 100%

Σ Pplanned < 100%
or
The present probability system of future events
is incomplete.


Top
------------------------------------------------------------------------

6. New Results. Solution of Problems (more)    
6.1. Solution of Problems of Modeling

The well-determined (but paradoxical) facts are:
For positive (gains) risky prospects, people typically
        1) overweight low probabilities but
        2) underweight high probabilities.
For negative (losses) risky prospects, people typically
        3) underweight low probabilities but
        4) overweight high probabilities.

Denoting the real value of probability,
which value is near 100% as Phigh real ,
the (positive) value of gain as G
and the (negative) value of loss as -G ,
we obtain
Phigh real < Phigh planned

and
G * Phigh real < G * Phigh planned

-G * Phigh real > -G * Phigh planned

        2) the underweight of high probabilities gains and
        4) the overweight of high probabilities losses.
Denoting the real value of probability,
which value is near 0% as Plow real possible
we obtain
Plow real possible > Plow planned

and
G * Plow real possible > G * Plow planned

-G * Plow real possible < -G * Plow planned

        1) the overweight of low probabilities gains and
        3) the underweight of low probabilities losses.
Thus, the above facts can be explained naturally and uniformly.




Top
6.2. New Results    
6.2.1. Formula of Forecasting    

The principle of uncertain future causes an increase of forecasting error and structural complexity.
The principle of uncertain future originates a formula of forecasting:

F ≅ Fbase {1+Σφaddit} {∏(1+kmultiplicat)} {1±Δerror}


Top
6.2.2. "Impossibilities" in Forecasting    

Possible conclusions from the formula of forecasting and the first consequence of the principle:

"Absolutely exact extrapolation forecasting is impossible"

"Exact middle-range extrapolation forecasting is unattainable"

Possible conclusions from the formula of forecasting and from the first and second consequences of the principle:

"Absolutely reliable extrapolation forecasting is impossible"

"Exact long-range extrapolation forecasting is impossible"

"Quantitative extra-long-range extrapolation forecasting is impossible"
(Growing quantitative uncertainties and unforeseen events may modify an essential parameter for more than 50% from its maximal value)

Possible conclusion from the formula of forecasting and the second consequence of the principle:

"Complete qualitative extra-long-range extrapolation forecasting is impossible"
(Unforeseen events may add an unforeseen qualitative feature in a complete picture)



Top
6.2.3. "Necessities" in Planning    

Possible conclusions from the formula of forecasting and the principle of uncertain future in the scope of the concept
"Future as the extrapolated Present":

"Future is Modifications and Changes"

"Short-term and Medium-term Planning is Necessary to be Flexible"

"The Necessary Features of Long-term Planning should be
Robustness & Resourcefulness"



Top




Copyright ® Alexander Harin