We introduce a new definition of forecasting coherence based on the Likelihood Principle and a “Scoring Structure” environment where a Forecast User interacts with a Forecast Producer and Reality to detect strategic interaction among economic agents’ forecasting bias. This mathematical object is necessary to identify and parametrize coherence in a feasible econometric model and give it a structural interpretation. Structural coherence is evaluated through a formal test that satisfies theoretical requirements in small samples. Three case studies illustrates the evidence of strategic judgment. The economic interpretation and the consequences of our approach in Central Banking are also discussed.

Zanetti Chini, Emilio, (2025). The judgmental strategy of professional forecasters [nuova versione] (WORKING PAPERS OF DEPARTMENT OF ECONOMICS 31). Bergamo: Retrieved from https://hdl.handle.net/10446/297845 Retrieved from http://dx.doi.org/10.13122/WPEconomics_31

The judgmental strategy of professional forecasters [nuova versione]

Zanetti Chini, Emilio
2025-01-01

Abstract

We introduce a new definition of forecasting coherence based on the Likelihood Principle and a “Scoring Structure” environment where a Forecast User interacts with a Forecast Producer and Reality to detect strategic interaction among economic agents’ forecasting bias. This mathematical object is necessary to identify and parametrize coherence in a feasible econometric model and give it a structural interpretation. Structural coherence is evaluated through a formal test that satisfies theoretical requirements in small samples. Three case studies illustrates the evidence of strategic judgment. The economic interpretation and the consequences of our approach in Central Banking are also discussed.
2025
ZANETTI CHINI, Emilio
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/297845
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