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On aggregation bias in fixed-event forecast efficiency tests

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Author Info
Gultekin Isiklar (State University of New York at Albany)

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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://129.3.20.41/eps/em/papers/0412/0412011.pdf
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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0412011.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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://129.3.20.41

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

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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This page was last updated on 2009-11-20.

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