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On aggregation bias in fixed-event forecast efficiency tests

Author

Listed:
  • Gultekin Isiklar

    (State University of New York at Albany)

Abstract

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.

Suggested Citation

  • Gultekin Isiklar, 2004. "On aggregation bias in fixed-event forecast efficiency tests," Econometrics 0412011, University Library of Munich, Germany, revised 28 Dec 2004.
    • Handle: RePEc:wpa:wuwpem:0412011
    Note: Type of Document - pdf; pages: 8
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0412/0412011.pdf
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    Cited by:

    1. Kevin Mongeon, 2015. "A Market Test for Ethnic Discrimination in the National Hockey League," Journal of Sports Economics, , vol. 16(5), pages 460-481, June.
    2. Natsuki Arai, 2016. "Evaluating the Efficiency of the FOMC's New Economic Projections," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(5), pages 1019-1049, August.
    3. Ager, P. & Kappler, M. & Osterloh, S., 2009. "The accuracy and efficiency of the Consensus Forecasts: A further application and extension of the pooled approach," International Journal of Forecasting, Elsevier, vol. 25(1), pages 167-181.
    4. Lahiri, Kajal & Zhao, Yongchen, 2020. "The Nordhaus test with many zeros," Economics Letters, Elsevier, vol. 193(C).
    5. Bruno Deschamps, 2015. "Are aggregate corporate earnings forecasts unbiased and efficient?," Review of Quantitative Finance and Accounting, Springer, vol. 45(4), pages 803-818, November.

    More about this item

    Keywords

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    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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