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Estimation and Testing of Forecast Rationality under Flexible Loss

โœ Scribed by Elliott, Graham; Komunjer, Ivana; Timmermann, Allan

Book ID
108504958
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
195 KB
Volume
72
Category
Article
ISSN
0034-6527

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Testing the rationality of forecast revi
Testing the rationality of forecast revisions made by the IMF and the OECD
โœ Masahiro Ashiya ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 111 KB

We investigate the rationality of forecast revisions made by the IMF and the OECD over the past three decades. We find that 60% of real-GDP forecast series and 37% of GDP-deflator forecast series are consistent with rationality. Forecast smoothing is found in real-GDP forecasts.