Predicting the signs of forecast errors

DOI10.1002/FOR.1139MaRDI QIDQ3065532zbMATH OpenOpenAlexFDO

Authors Nazaria Solferino, Robert Waldmann

Publication date 6 January 2011

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1814/547

zbMATH Keywords

forecastrational expectationspanelloss functioninterest rate

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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• Information content of forecast errors
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Cites work

• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• Estimation and Testing of Forecast Rationality under Flexible Loss
• Prediction with a Generalized Cost of Error Function
• Properties of optimal forecasts under asymmetric loss and nonlinearity
• Rationality testing under asymmetric loss

Cited in

(3)

• On the usefulness of cross-validation for directional forecast evaluation
• The Rationality and Efficiency of Individuals' Forecasts
• Information content of forecast errors

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