Forecast bias in two dimensions
AbstractEconomists have tried to uncover stylized facts about people’s expectations, testing whether such expectations are rational. Tests in the early 1980s suggested that expectations were biased, and some economists took irrational expectations as a stylized fact. But, over time, the results of tests that led to such a conclusion were reversed. In this paper, we examine how tests for bias in expectations, measured using the Survey of Professional Forecasters, have changed over time. In addition, key macroeconomic variables that are the subject of forecasts are revised over time, causing problems in determining how to measure the accuracy of forecasts. The results of bias tests are found to depend on the subsample in question, as well as what concept is used to measure the actual value of a macroeconomic variable. Thus, our analysis takes place in two dimensions: across subsamples and with alternative measures of realized values of variables.
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.
Bibliographic InfoPaper provided by Federal Reserve Bank of Philadelphia in its series Working Papers with number 12-9.
Date of creation: 2012
Date of revision:
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Timmermann, Allan G, 2005.
CEPR Discussion Papers
5361, C.E.P.R. Discussion Papers.
- Dean Croushore & Tom Stark, 1999.
"A real-time data set for macroeconomists,"
99-4, Federal Reserve Bank of Philadelphia.
- Hafer, R W & Hein, Scott E, 1985.
"On the Accuracy of Time-Series, Interest Rate, and Survey Forecasts of Inflation,"
The Journal of Business,
University of Chicago Press, vol. 58(4), pages 377-98, October.
- R. W. Hafer & Scott E. Hein, 1984. "On the accuracy of time series, interest rate and survey forecasts of inflation," Working Papers 1984-022, Federal Reserve Bank of St. Louis.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Diane Rosenberger).
If references are entirely missing, you can add them using this form.