On aggregation bias in fixed-event forecast efficiency tests
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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- Graham Elliott & Ivana Komunjer & Allan Timmermann, 2008.
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200003, University of Hawaii at Manoa, Department of Economics.
- 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.
- William D. Nordhaus, 1985.
"Forecasting Efficiency: Concepts and Applications,"
Cowles Foundation Discussion Papers
774, Cowles Foundation for Research in Economics, Yale University.
- 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 3-46 National Bureau of Economic Research, Inc.
- 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.
- 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.
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