Are 'unbiased' forecasts really unbiased? Another look at the Fed forecasts

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Are 'unbiased' forecasts really unbiased? Another look at the Fed forecasts

Author Info

Tara M. Sinclair () (Department of Economics The George Washington University)
Fred Joutz () (Department of Economics The George Washington University)
Herman O. Stekler () (Department of Economics The George Washington University)

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Abstract

This paper reconciles contradictory findings obtained from forecast evaluations: the existence of systematic errors and the failure to reject rationality in the presence of such errors. Systematic errors in one economic state may offset the opposite types of errors in the other state such that the null of rationality is not rejected. A modified test applied to the Fed forecasts shows that the forecasts were ex post biased.

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Publisher Info
Paper provided by The George Washinton University, Department of Economics, Research Program on Forecasting in its series Working Papers with number 2008-010.

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Length: 18 pages
Date of creation: Aug 2008
Date of revision:
Handle: RePEc:gwc:wpaper:2008-010

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

This paper has been announced in the following NEP Reports:

NEP-ALL-2009-06-03 (All new papers)
NEP-ECM-2009-06-03 (Econometrics)
NEP-FOR-2009-06-03 (Forecasting)

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