Are professional forecasters overconfident?

Casey, Eddie

doi:10.1016/j.ijforecast.2020.09.002

Cited by 5 publications

(3 citation statements)

References 25 publications

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“…In these cases, forecasters overstate their ex ante uncertainty compared to the squared forecast errors and should, on average, reduce the variance of their histogram close to the target. Overall, these results square with similar evidence documented in Söderlind (2003, 2006) and Clements (2014Clements ( , 2018 for the FED-SPF and in Kenny et al (2014), Krüger (2017), andCasey (2021) for the ECB-SPF. In particular, our findings support the result of Clements (2014) that the ex ante uncertainty of SPF participants exceeds ex post uncertainty at short forecast horizons.…”

Section: Analysis Of Variance Misalignmentsupporting

confidence: 90%

“…A misalignment of ex ante and ex post forecast variances has been documented by Giordani and Söderlind (2003, 2006), Kenny et al (2014, 2015), Clements (2014), and Casey (2021). Our main finding is that these deviations of panelists' forecast uncertainty prior to and after the outcome can partially be ascribed to the response pattern of a large group of forecasters that provide their histogram predictions in a particular form.…”

Section: Introductionmentioning

confidence: 78%

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Uncertainty measures from partially rounded probabilistic forecast surveys

Glas

Hartmann

2022

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Although survey‐based point predictions have been found to outperform successful forecasting models, corresponding variance forecasts are frequently diagnosed as heavily distorted. Professional forecasters who report inconspicuously low ex ante variances often produce squared forecast errors that are much larger on average. In this paper, we document the novel stylized fact that this variance misalignment is related to the rounding behavior of survey participants. Rounding may reflect the fact that some survey participants employ a rather judgmental approach to forecasting as opposed to using a formal model. We use the distinct numerical accuracies of panelists' reported probabilities as a way to propose several alternative and easily implementable corrections that (i) can be carried out in real time, that is, before outcomes are observed, and (ii) deliver a significantly improved match between ex ante and ex post forecast uncertainty. According to our estimates, uncertainty about inflation, output growth and unemployment in the U.S. and the Euro area is higher after correcting for the rounding effect. The increase in the share of nonrounded responses in recent years also helps to understand the trajectory of survey‐based average uncertainty during the years since the financial and sovereign debt crisis.

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Section: Analysis Of Variance Misalignmentsupporting

confidence: 90%

Section: Introductionmentioning

confidence: 78%

Uncertainty measures from partially rounded probabilistic forecast surveys

Glas

Hartmann

2022

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“…Overconfidence can be seen as a direct manifestation of optimism bias, while optimism bias strengthens an individual's overconfidence. (Casey, 2021;Leleur et al, 2015;Workman, 2012)…”

Section: Illusion Of Controlmentioning

confidence: 99%

Toward a Deeper Understanding of Optimism Bias and Transport Project Cost Overrun

Chen

Ahiaga-Dagbui

Thaheem

et al. 2023

Project Management Journal

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There is a growing face-value acceptance of optimism bias as the primary cause of transport cost overruns. This article provides a timely review of literature on optimism bias and transport infrastructure project cost overruns. The article identifies significant gaps and unanswered questions about the relationship between optimism bias in project cost appraisal and cases of transport infrastructure cost overruns. The presence and nature of optimism bias in the complex institutional environment of project cost appraisal are largely understudied and not well understood. Consequently, this has significant implications for the development of effective mitigation strategies for improving transport project cost performance.

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Can We Estimate Macroforecasters’ Mis-Behavior?

Chini

2022

SSRN Journal

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Are professional forecasters overconfident?

Cited by 5 publications

References 25 publications

Uncertainty measures from partially rounded probabilistic forecast surveys

Uncertainty measures from partially rounded probabilistic forecast surveys

Toward a Deeper Understanding of Optimism Bias and Transport Project Cost Overrun

Can We Estimate Macroforecasters’ Mis-Behavior?

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