Predicting the signs of forecast errors
The signs of forecast errors can be predicted using the difference between individuals' forecasts and the average of earlier forecasts of the same variable. It is possible to improve forecasts without worsening any. It is difficult to reconcile this result with the rational expectations hypothesis because the average of earlier forecasts is in the information set of the forecasters. Copyright © 2009 John Wiley & Sons, Ltd.
Volume (Year): 29 (2010)
Issue (Month): 5 ()
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- Christoffersen & Diebold, "undated". "Optimal Prediction Under Asymmetric Loss," Home Pages 167, 1996., University of Pennsylvania.
- Steven P. Peterson, 2001. "Rational Bias In Yield Curve Forecasts," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 457-464, August.
- Batchelor, Roy & Peel, David A., 1998. "Rationality testing under asymmetric loss," Economics Letters, Elsevier, vol. 61(1), pages 49-54, October. Full references (including those not matched with items on IDEAS)
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