Evaluating the Rationality of Fixed-Event Forecasts

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Evaluating the Rationality of Fixed-Event Forecasts

Author Info

Clements, M.C.

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Michael Peter Clements

Abstract

A Test of forecasts rationality based on the weak efficiency of fixed-event forecasts has recently been proposed by Nordhauss (1987). This paper considers the scope for pooling fixed-event forecasts across 'events' to deliver more powerful tests of the weak-efficiency hypothesis. In an empirial illustration we demonstrate the usefulness of this approach when only a small number of forecasts are available.

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Publisher Info
Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 457.

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Length: 15 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:wrk:warwec:457

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Related research
Keywords: FORECASTS; POOLING; TESTS;

Find related papers by JEL classification:
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

Cited by:
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David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
Other versions:
- Hendry, David F & Michael P. Clements, 2002. "Economic Forecasting: Some Lessons from Recent Research," Royal Economic Society Annual Conference 2002 99, Royal Economic Society. [Downloadable!]
- David Hendry & Michael Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 078, University of Oxford, Department of Economics. [Downloadable!]
- David F. Hendry & Michael P. Clements, 2001. "Economic forecasting: some lessons from recent research," Working Paper Series 082, European Central Bank. [Downloadable!]
- Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March. [Downloadable!] (restricted)
Patton, Andrew J & Timmermann, Allan G, 2007. "Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts," CEPR Discussion Papers 6526, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

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