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Testing the Rationality of Inflation Forecasts from Survey Data: Another Look at the SRC Expected Price Change Data

  • Rich, Robert W

This paper develops a unified econometric approach for testing the rationality of expectations from survey data series. The paper employs the estimation techniques of Hansen (1982) and Eichenbaum, Hansen and Singleton (1982) to conduct tests of unbiasedness, efficiency and orthogonality for the SRC expected price change data. In contrast to the existing literature, the analysis takes careful account of serial correlation and conditional heteroskedasticity in the disturbance terms. The results do not reject the properties of unbiasedness, efficiency or othogonality for this survey data series. Copyright 1989 by MIT Press.

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Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 71 (1989)
Issue (Month): 4 (November)
Pages: 682-86

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Handle: RePEc:tpr:restat:v:71:y:1989:i:4:p:682-86
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