摘要:

AbstractThis study reports the results of an experiment that examines (1) the effects of forecast horizon on the performance of probability forecasters, and (2) the alleged existence of an inverse expertise effect, i.e., an inverse relationship between expertise and probabilistic forecasting performance. Portfolio managers are used as forecasters with substantive expertise. Performance of this ‘expert’ group is compared to the performance of a ‘semi‐expert’ group composed of other banking professionals trained in portfolio management. It is found that while both groups attain their best discrimination performances in the four‐week forecast horizon, they show their worst calibration and skill performances in the 12‐week forecast horizon. Also, while experts perform better in all performance measures for the one‐week horizon, semi‐experts achieve better calibration for the four‐week horizon. It is concluded that these results may signal the existence of an inverse expertise effect that is contingent on the select

ISSN:0277-6693    

DOI:10.1002/for.3980130702

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

摘要:

AbstractA decomposition of the Brier skill score shows that the performance of judgmental forecasts depends on seven components: environmental predictability, fidelity of the information system, match between environment and forecaster, reliability of information acquisition, reliability of information processing, conditional bias, and unconditional bias. These components provide a framework for research on the forecasting process. Selected literature addressing each component is reviewed, and implications for improving judgmental forecasting are discussed.

ISSN:0277-6693    

DOI:10.1002/for.3980130703

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

摘要:

AbstractCo‐integration analysis is used in a study of the advertising and sales relationship using the Lydia Pinkham data set. The series are shown to have a valid long‐run relationship while Granger‐causality runs in both directions. The latter is found by using a causality test involving the co‐integration restrictions which seem to constitute a crucial part of such tests in the case of co‐integrated variables. A comparison with previous models shows that forecasting co‐integrated series is more accurate with error‐correction systems, especially in the case of multi‐s

ISSN:0277-6693    

DOI:10.1002/for.3980130704

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

摘要:

AbstractThe reliability and precision of the weights used in combining individual forecasts, irrespective of the method of combination, is important in evaluating a combined forecast. The objective of this study is not to suggest the ‘best’ method of combining individual forecasts, but rather to propose exploratory procedures, that make use of all available sample information contained in the covariance matrix of individual forecast errors, to (1) detect if the weights used in combining forecasts are ‘reliable’ (and ‘stable’ if it is known that the covariance matrix of forecast errors is stationary over time) and (2) test for ‘insignificant’ individual forecasts used in forming a combined forecast. We present empirical applications using two‐year sales and individual forecast data provided by a major consumer durables manufacturer to illustrate the feasibility of our pr

ISSN:0277-6693    

DOI:10.1002/for.3980130705

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980130701

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY