Forecasting Efficiency: Concepts and Applications
This article introduces the concept of forecast efficiency, in which the forecast contains all information available at the time of the forecast. Empirical tests investigate weak efficiency, where the information set is all past forecasts and where all forecast revisions and errors should be uncorrelated with past forecast revisions. Tests of macroeconomic, energy-consumption, and oil-price forecasts find a significant autocorrelation of forecast revisions, with fifty of fifty-one tests showing positive correlation of forecast revisions, as opposed to zero correlation consistent with forecast efficiency. Copyright 1987 by MIT Press.
Volume (Year): 69 (1987)
Issue (Month): 4 (November)
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- Robert J. Shiller, 1984.
"Stock Prices and Social Dynamics,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
- Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation for Research in Economics, Yale University.
- Arrow, Kenneth J, 1982. "Risk Perception in Psychology and Economics," Economic Inquiry, Western Economic Association International, vol. 20(1), pages 1-9, January. Full references (including those not matched with items on IDEAS)
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