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Predicting the signs of forecast errors

Nazaria Solferino and Robert Waldmann ()
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Nazaria Solferino: University of Rome 'Tor Vergata', Rome, Italy, Postal: University of Rome 'Tor Vergata', Rome, Italy

Journal of Forecasting, 2010, vol. 29, issue 5, 476-485

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 © 2009 John Wiley & Sons, Ltd.

Date: 2010
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Working Paper: Predicting the Signs of Forecast Errors (2008) Downloads
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Handle: RePEc:jof:jforec:v:29:y:2010:i:5:p:476-485