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)
|Contact details of provider:|| Web page: http://mitpress.mit.edu/journals/|
|Order Information:||Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
When requesting a correction, please mention this item's handle: RePEc:tpr:restat:v:69:y:1987:i:4:p:667-74. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kristin Waites)
If references are entirely missing, you can add them using this form.