Paper #1426

Título:

Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts

Autores:

Barbara Rossi y Tatevik Sekhposyan

Fecha:

Junio 2014

Resumen:

This 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.

Palabras clave:

Forecasting, forecast rationality, regression-based tests of forecasting ability, Greenbook forecasts, survey forecasts, real-time data

Códigos JEL:

C22, C52, C53

Área de investigación:

Macroeconomía y Economía Internacional / Estadística, Econometría y Métodos Cuantitativos

Publicado en:

Journal of Applied Econometrics, 31(3), 457-610, April-May 2016

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