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
โฆ LIBER โฆ
Biased predictors, rationality and the evaluation of forecasts
โ Scribed by Arnold Zellner
- Book ID
- 116099998
- Publisher
- Elsevier Science
- Year
- 1986
- Tongue
- English
- Weight
- 242 KB
- Volume
- 21
- Category
- Article
- ISSN
- 0165-1765
No coin nor oath required. For personal study only.
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## 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
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