Forecasting with Econometric Methods: Folklore Versus Fact

J. Armstrong

MPRA Paper from University Library of Munich, Germany

Abstract: Evidence from social psychology suggests that econometricians will avoid evidence that disconfirms their beliefs. Two beliefs of econometricians were examined: (1) Econometric methods provide more accurate short-term forecasts than do other methods; and (2) more complex econometric methods yield more accurate forecasts. A survey of 21 experts in econometrics found that 95% agreed with the first statement and 72% agreed with the second. A review of the published empirical evidence yielded little support for either of the two statements in the 41 studies. The method of multiple hypotheses was suggested as a research strategy that will lead to more effective use of disconfirming evidence. Although this strategy was suggested in 1890, it has only recently been used by econometricians.

Keywords: econometric models; forecasting (search for similar items in EconPapers)
JEL-codes: B23 C01 C53 (search for similar items in EconPapers)
Date: 1978-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Published in Journal of Business 51 (1978): pp. 549-564

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