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On aggregation bias in fixed-event forecast efficiency tests

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  • Gultekin Isiklar

    (State University of New York at Albany)

Abstract

This 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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File URL: http://128.118.178.162/eps/em/papers/0412/0412011.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0412011.

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Length: 8 pages
Date of creation: 27 Dec 2004
Date of revision: 27 Dec 2004
Handle: RePEc:wpa:wuwpem:0412011

Note: Type of Document - pdf; pages: 8
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Web page: http://128.118.178.162

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Keywords: Aggregation bias; fixed-event; weak-efficiency;

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References

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  1. Bonham, Carl S & Cohen, Richard H, 2001. "To Aggregate, Pool, or Neither: Testing the Rational-Expectations Hypothesis Using Survey Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 278-91, July.
  2. Figlewski, Stephen & Wachtel, Paul, 1983. "Rational Expectations, Informational Efficiency, and Tests Using Survey Data: A Reply [The Formation of Inflationary Expectations]," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 529-31, August.
  3. William D. Nordhaus, 1985. "Forecasting Efficiency: Concepts and Applications," Cowles Foundation Discussion Papers 774, Cowles Foundation for Research in Economics, Yale University.
  4. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September.
  5. Graham Elliott & Ivana Komunjer & Allan Timmermann, 2005. "Biases In Macroeconomic Forecasts: Irrationality Or Asymmetric Loss?," CAMA Working Papers 2005-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Jacob A. Mincer & Victor Zarnowitz, 1969. "The Evaluation of Economic Forecasts," NBER Chapters, in: Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance, pages 1-46 National Bureau of Economic Research, Inc.
  7. Davies, Anthony & Lahiri, Kajal, 1995. "A new framework for analyzing survey forecasts using three-dimensional panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 205-227, July.
  8. David I. Harvey & Stephen J. Leybourne & Paul Newbold, 2001. "Analysis of a panel of UK macroeconomic forecasts," Econometrics Journal, Royal Economic Society, vol. 4(1), pages S37-S55.
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Cited by:
  1. Ager, P. & Kappler, M. & Osterloh, S., 2009. "The accuracy and efficiency of the Consensus Forecasts: A further application and extension of the pooled approach," International Journal of Forecasting, Elsevier, vol. 25(1), pages 167-181.

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