To Aggregate, Pool, or Neither: Testing the Rational-Expectations Hypothesis Using Survey Data
AbstractIt is well known that, even if all forecasters are rational, unbiasedness tests using consensus forecasts are inconsistent because forecasters have private information. However, if all forecasters face a common realization, pooled estimators are also inconsistent. In contrast, we show that when predictions and realizations are integrated and cointegrated, microhomogeneity ensures that consensus and pooled estimators are consistent. Therefore, contrary to claims in the literature, in the absence of microhomogeneity, pooling is not a solution to the aggregation problem. We reject microhomogeneity for a number of forecasts from the Survey of Professional Forecasters. Therefore, for these variables unbiasedness can only be tested at the individual level.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 19 (2001)
Issue (Month): 3 (July)
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
Other versions of this item:
- Carl S Bonham & Richard H Cohen, 2000. "To Aggregate, Pool, or Neither: Testing the Rational Expectations Hypothesis Using Survey Data," Working Papers 200003, University of Hawaii at Manoa, Department of Economics.
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