The sources of forecast errors: Experimental evidence

In Muth's original theory, the passage of time is the only source of forecast error. Persistent rejections led Muth to surmise problems in the data also cause forecast error; Keane and Runkle argue that many rejections of Muth's theory are reversed if data problems are properly considered....

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Bibliographic Details
Published inJournal of economic behavior & organization Vol. 19; no. 2; pp. 237 - 244
Main Author Beckman, Steven R.
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.10.1992
Elsevier
North-Holland Pub. Co
Elsevier Sequoia S.A
SeriesJournal of Economic Behavior & Organization
Subjects
Correlation analysis
Datasets
Economic forecasts
Economic models
Economic theory
Experiment
Hypotheses
Prognoseverfahren
Theorie
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Summary:In Muth's original theory, the passage of time is the only source of forecast error. Persistent rejections led Muth to surmise problems in the data also cause forecast error; Keane and Runkle argue that many rejections of Muth's theory are reversed if data problems are properly considered. Experimental evidence allows a particularly clean test because the data are inherently simpler. The continued rejection of Muth's hypothesis suggests model uncertainty as a source of forecast error.
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ISSN:0167-2681
1879-1751
DOI:10.1016/0167-2681(92)90092-P