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Predicting the Signs of Forecast Errors

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Author Info
Nazaria Solferino (Faculty of Economics, University of Rome "Tor Vergata")
Robert J. Waldmann () (Faculty of Economics, University of Rome "Tor Vergata")

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Abstract

The signs of forecast errors can be predicted using the difference between individuals' forecasts and the average of earlier forecasts of the same variable. It is possible to improve forecasts without worsening any. It is difficult to reconcile this result with the rational expectations hypothesis, because the average of earlier forecasts is in the information set of the forecasters

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File URL: ftp://www.ceistorvergata.it/repec/rpaper/RP135.pdf
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Publisher Info
Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number 135.

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Length: 27 pages
Date of creation: 24 Nov 2008
Date of revision: 24 Nov 2008
Handle: RePEc:rtv:ceisrp:135

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Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
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Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
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Web: http://www.ceistorvergata.it

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Related research
Keywords: Rational Expectations; Panel; Loss Function; Forecast; Interest Rate.;

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.:
  1. Steven P. Peterson, 2001. "Rational Bias In Yield Curve Forecasts," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 457-464, August. [Downloadable!] (restricted)
  2. Ehrbeck, Tilman & Waldmann, Robert, 1996. "Why Are Professional Forecasters Biased? Agency versus Behavioral Explanations," The Quarterly Journal of Economics, MIT Press, vol. 111(1), pages 21-40, February. [Downloadable!] (restricted)
  3. Allan Timmermann & Graham Elliott & Ivana Komunjer, 2004. "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?," Econometric Society 2004 North American Summer Meetings 601, Econometric Society. [Downloadable!]
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