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Title:The regression tournament
Authors:Schnytzer, Adi (Author)
Šušteršič, Janez (Author)
Files:URL http://www.ingentaconnect.com/content/ubpl/jpm/2011/00000005/00000002/art00003
 
Language:English
Work type:Not categorized
Tipology:1.01 - Original Scientific Article
Organization:FM - Faculty of Management
Abstract:Standard methods to assess the statistical quality of econometric models implicitly assume there is only one person in the world, namely the forecaster with her model(s), and that there exists an objective and independent reality to which the model predictions may be compared. However, on many occasions, the reality with which we compare our predictions and in which we take our actions is co-determined and changed constantly by actions taken by other actors based on their own models. We propose a new method, called a regression tournament, to assess the utility of forecasting models and taking these interactions into account. We present an empirical case of betting on Australian Rules Football matches where the most accurate predictive model does not yield the highest betting return, or, in our terms, does not win a regression tournament.
Keywords:prediction markets, forecasting models' assessment, regression tournament
Year of publishing:2011
Number of pages:str. 32-43
Numbering:Vol. 5, no. 2
ISSN:1750-6751
UDC:330.44
COBISS_ID:4206807 Link is opened in a new window
Views:1225
Downloads:13
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Secondary language

Language:Unknown
Keywords:napovedni trgi, ocenjevanje modelov za napovedovanje, regresijski turnir

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