Forecast Optimality Tests in the Presence of Instabilities

Barbara Rossi and Tatevik Sekhposyan

No 11-18, Working Papers from Duke University, Department of Economics

Abstract: This paper proposes forecast optimality tests that can be used in unstable environments. They include tests for forecast unbiasedness, efficiency, encompassing, serial uncorrelation, and, in general, regression-based tests of forecasting ability. The proposed tests are applied to evaluate the rationality of the Federal Reserve Greenbook forecasts as well as a variety of survey-based private forecasts. In addition, we consider whether Money Market Services forecasts are rational. Our robust tests suggest more empirical evidence against forecast rationality than previously found but con firm that the Federal Reserve has additional information about current and future states of the economy relative to market participants.

Keywords: Forecasting; forecast optimality; regression-based tests of forecasting ability; Greenbook forecasts; survey forecasts; real-time data (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Pages: 42
Date: 2011
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-for
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://ssrn.com/abstract=1916249 main text

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:duk:dukeec:11-18

Access Statistics for this paper

More papers in Working Papers from Duke University, Department of Economics Department of Economics Duke University 213 Social Sciences Building Box 90097 Durham, NC 27708-0097.
Bibliographic data for series maintained by Department of Economics Webmaster ().