โ Scribed by Chang, Chia-Lin; de Bruijn, Bert; Franses, Philip Hans; McAleer, Michael
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract In this paper we introduce a new testing procedure for evaluating the rationality of fixedโevent forecasts based on a pseudoโmaximum likelihood estimator. The procedure is designed to be robust to departures in the normality assumption. A model is introduced to show that such departures
Forecasts are routinely revised, and these revisions are often the subject of informal analysis and discussion. This paper argues (1) that forecast revisions are analyzed because they help forecasters and forecast users to evaluate forecasts and forecasting procedures and (2) that these analyses can
A test of forecast rationality based on the weak eciency of ยฎxed-event forecasts was proposed by Nordhaus (1987). This paper considers the scope for pooling ยฎxed-event forecasts across `events', to deliver more powerful tests of the weak-eciency hypothesis, when only a small number of ยฎxedevent fore