On aggregation bias in fixed-event forecast efficiency tests

Gultekin Isiklar ()

Econometrics from EconWPA

Abstract: This note shows that problems due to aggregation in fixed-event forecast efficiency tests are not as severe as they are in unbiasedness tests. We also show that first lags of consensus revisions should be avoided in the tests.

Keywords: Aggregation bias; fixed-event; weak-efficiency (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2004-12-27, Revised 2004-12-28
Note: Type of Document - pdf; pages: 8

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http://129.3.20.41/eps/em/papers/0412/0412011.pdf (application/pdf)

Related works:
Journal Article: On aggregation bias in fixed-event forecast efficiency tests (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0412011

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