✦ LIBER ✦

Evaluating the Rationality of Fixed-event Forecasts

✍ Scribed by MICHAEL P. CLEMENTS

Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 211 KB
Volume: 16
Category: Article
ISSN: 0277-6693
DOI: 10.1002/(sici)1099-131x(199707)16:4<225::aid-for656>3.0.co;2-l

No coin nor oath required. For personal study only.

✦ Synopsis

A test of forecast rationality based on the weak eciency of ®xed-event forecasts was proposed by Nordhaus (1987). This paper considers the scope for pooling ®xed-event forecasts across `events', to deliver more powerful tests of the weak-eciency hypothesis, when only a small number of ®xedevent forecasts are available. In an empirical illustration we demonstrate the usefulness of this approach. We also suggest an interpretation of the rejection of the null hypothesis of weak eciency in favour of negative autocorrelation in series of revisions to ®xed-event forecasts. The relationship between weak eciency and rationality when loss functions are asymmetric and prediction error variances are time-varying is also considered.

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