The asymmetry of judgemental confidence intervals in time series forecasting

In forecasting a time series, one may be asked to communicate the likely di stribution of the future actual value, often expressed as a confidence inte rval. Whilst the accuracy (calibration) of these intervals has dominated mo st studies to date, this paper is concerned with other possible characteris tics of the intervals. It reports a study in which the prevalence and deter minants of the symmetry of judgemental confidence intervals in time series forecasting was examined. Most prior work has assumed that this interval is symmetrically placed around the forecast. However, this study shows that p eople generally estimate asymmetric confidence intervals where the forecast is not the midpoint of the estimated interval. Many of these intervals are grossly asymmetric. Results indicate that the placement of the forecast in relation to the last actual value of a time series is a major determinant of the direction and size of the asymmetry. (C) 2001 Elsevier Science B.V. All rights reserved.