In Search of a "Strictly Rational" Forecast
AbstractThis paper proposes criteria for classifying time-series forecasts of inflation as weakly, sufficiently, strongly, and strictly rational. Forecasts taken from the ASA-NBER surveys, some well-known one-step-ahead forecasting techniques, and a novel variable length autoregressive moving average model are tested against these criteria. None of the forecasts series meets the criteria for strict rationality nor, even, the less demanding criteria for strong rationality. While agents forecast as best they can, their forecasts are not likely to meet stringent rationality criteria suggested by econometricians. Copyright 1991 by MIT Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by MIT Press in its journal Review of Economics & Statistics.
Volume (Year): 73 (1991)
Issue (Month): 2 (May)
Contact details of provider:
Web page: http://mitpress.mit.edu/journals/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Agnieszka Markiewicz & Andreas Pick, 2014.
"Adaptive learning and survey data,"
DNB Working Papers
411, Netherlands Central Bank, Research Department.
- Pesaran, M.H. & Weale, M., 2005.
Cambridge Working Papers in Economics
0536, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Martin Weale, 2005. "Survey Expectations," CESifo Working Paper Series 1599, CESifo Group Munich.
- M. Hashem Pesaran & Martin Weale, 2005. "Survey Expectations," IEPR Working Papers 05.30, Institute of Economic Policy Research (IEPR).
- Martin Weale, 2005. "Survey Expectations," NIESR Discussion Papers 260, National Institute of Economic and Social Research.
- Lopez-Calix, Jose R., 1998. "Are Pick data on parallel exchange rates misleading?," Economics Letters, Elsevier, vol. 59(2), pages 223-230, May.
- Yin-Wong Cheung & Menzie D. Chinn, 1999. "Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys," NBER Working Papers 6926, National Bureau of Economic Research, Inc.
- Schaefer, Matthew P. & Myers, Robert J., 1999. "Forecasting Accuracy, Rational Expectations And Market Efficiency In The Us Beef Cattle Industry," 1999 Annual meeting, August 8-11, Nashville, TN 21487, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Dean Croushore, 2012. "Forecast bias in two dimensions," Working Papers 12-9, Federal Reserve Bank of Philadelphia.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Karie Kirkpatrick).
If references are entirely missing, you can add them using this form.