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 InfoPaper provided by EconWPA in its series Econometrics with number 0412011.
Length: 8 pages
Date of creation: 27 Dec 2004
Date of revision: 27 Dec 2004
Note: Type of Document - pdf; pages: 8
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Aggregation bias; fixed-event; weak-efficiency;
Other versions of this item:
- Isiklar, Gultekin, 2005. "On aggregation bias in fixed-event forecast efficiency tests," Economics Letters, Elsevier, vol. 89(3), pages 312-316, December.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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