Evaluating Econometric Models and Expert Intuition

R (Rianne) Legerstee

Research output: Types of ThesisDoctoral ThesisInternal

Abstract

This thesis is about forecasting situations which involve econometric models and expert intuition. The first three chapters are about what it is that experts do when they adjust statistical model forecasts and what might improve that adjustment behavior. It is investigated how expert forecasts are related to model forecasts, how this potential relation is influenced by other factors and how it influences forecast accuracy, how feedback influences forecasting behavior and accuracy and which loss function is associated with experts’ forecasts. The final chapter focuses on how to make use in an optimal way of multiple forecasts produced by multiple experts for one and the same event. It is found that potential disagreement amongst forecasters can have predictive value, especially when used in Markov regime-switching models.
Original languageEnglish
Awarding Institution
  • Erasmus University Rotterdam
Supervisors/Advisors
  • Franses, Philip Hans, Supervisor
  • Paap, Richard, Co-supervisor
  • van Dijk, Dick, Co-supervisor
  • Timmermann, Co-supervisor
Award date10 May 2012
Place of PublicationRotterdam
Print ISBNs9789036102919
Publication statusPublished - 10 May 2012

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