Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and Survey Forecasts

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  • dc.contributor.author Rossi, Barbara, 1971-ca
  • dc.contributor.author Sekhposyan, Tatevik
  • dc.date.accessioned 2016-05-02T17:00:21Z
  • dc.date.available 2017-01-25T03:00:04Z
  • dc.date.issued 2016ca
  • dc.description.abstract This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and efficiency tests, commonly referred to as tests of forecast rationality. Our framework is general: it can be applied to model-based forecasts obtained either with recursive or rolling window estimation schemes, as well as to forecasts that are model free. The proposed tests provide more evidence against forecast rationality than previously found in the Federal Reserve's Greenbook forecasts as well as survey-based private forecasts. It confirms, however, that the Federal Reserve has additional information about current and future states of the economy relative to market participants.
  • dc.description.sponsorship B. Rossi gratefully acknowledges financial support from the European Research Agency's Marie Curie Grant 303434 and ERC Grant 615608.
  • dc.format.mimetype application/pdfca
  • dc.identifier.citation Rossi B, Sekhposyan T. Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and Survey Forecasts. Journal of Applied Econometrics. 2016;31(3):507-32. DOI: 10.1002/jae.2440ca
  • dc.identifier.doi http://dx.doi.org/10.1002/jae.2440
  • dc.identifier.issn 0883-7252ca
  • dc.identifier.uri http://hdl.handle.net/10230/26235
  • dc.language.iso engca
  • dc.publisher Wileyca
  • dc.relation.ispartof Journal of Applied Econometrics. 2016;31(3):507-32
  • dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/615608
  • dc.rights This is the pre-peer reviewed version of the following article: Rossi B, Sekhposyan T. Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and Survey Forecasts. Journal of Applied Econometrics. 2016;31(3):507-32, which has been published in final form at http://dx.doi.org/10.1002/jae.2440. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.ca
  • dc.rights.accessRights info:eu-repo/semantics/openAccess
  • dc.subject.keyword Forecasting rationality
  • dc.subject.keyword Regression-based tests of forecasting ability
  • dc.subject.keyword Greenbook forecasts
  • dc.subject.keyword Survey forecasts
  • dc.subject.keyword Real-time data
  • dc.title Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and Survey Forecastsca
  • dc.type info:eu-repo/semantics/articleca
  • dc.type.version info:eu-repo/semantics/acceptedVersionca