Rossi, Barbara, 1971-Sekhposyan, TatevikUniversitat Pompeu Fabra. Departament d'Economia i Empresa2017-07-262017-07-262014-06-01Journal of Applied Econometrics, 31(3), 457-610, April-May 2016http://hdl.handle.net/10230/22586This 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.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commonsinfo:eu-repo/semantics/workingPaperforecastingforecast rationalityregression-based tests of forecasting abilitygreenbook forecastssurvey forecastsreal-time dataMacroeconomics and International EconomicsStatistics, Econometrics and Quantitative Methodsinfo:eu-repo/semantics/openAccess