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Testing Forecast Optimality Under Unknown Loss

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Author Info
Patton, Andrew J.
Timmermann, Allan

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Abstract

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File URL: http://www.ingentaconnect.com/content/asa/jasa/2007/00000102/00000480/art00012
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Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

Volume (Year): 102 (2007)
Issue (Month): (December)
Pages: 1172-1184
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Handle: RePEc:bes:jnlasa:v:102:y:2007:m:december:p:1172-1184

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  1. Lima, Luiz Renato Regis de Oliveira & Issler, João Victor, 2008. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 668, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
  2. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics. [Downloadable!]
  3. Carlos Capistrán & Allan Timmermann, 2008. "Disagreement and Biases in Inflation Expectations," CREATES Research Papers 2008-56, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  4. Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents'forecasts," The Warwick Economics Research Paper Series (TWERPS) 870, University of Warwick, Department of Economics. [Downloadable!]
  5. Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2009. "Does the FOMC Have Expertise, and Can It Forecast?," CIRJE F-Series CIRJE-F-648, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Other versions:
  6. Jörg Döpke & Ulrich Fritsche & Boriss Siliverstovs, 2009. "Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function," KOF Working papers 09-237, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
    Other versions:
  7. Juan Angel García & Andrés Manzanares, 2007. "Reporting biases and survey results - evidence from European professional forecasters," Working Paper Series 836, European Central Bank. [Downloadable!]
  8. Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2009. "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," CIRJE F-Series CIRJE-F-637, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  9. Andrew J. Patton & Allan Timmermann, 2008. "The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast," CREATES Research Papers 2008-54, School of Economics and Management, University of Aarhus. [Downloadable!]
  10. Philip Hans Franses & Henk Kranendonk & Debby Lanser, 2007. "On the optimality of expert-adjusted forecasts," CPB Discussion Papers 92, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]
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This page was last updated on 2009-11-22.


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