On aggregation bias in fixed-event forecast efficiency tests
AbstractThis note shows that problems due to aggregation in fixed-event forecast efficiency tests are not as severe as they are in unbiasedness tests. We also show that first lags of consensus revisions should be avoided in the tests.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 89 (2005)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Gultekin Isiklar, 2004. "On aggregation bias in fixed-event forecast efficiency tests," Econometrics 0412011, EconWPA, revised 27 Dec 2004.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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