Multivariate test for forecast rationality under asymmetric loss functions: Recent evidence from MMS survey of inflation–output forecasts

Yasemin Ulu

Economics Letters, 2013, vol. 119, issue 2, 168-171

Abstract: We propose a multivariate test for forecast rationality under asymmetric loss functions and test jointly the rationality of inflation–output forecasts of the MMS survey for the US. Our results indicate that even though the rationality of the forecasts individually may be rejected under two popular univariate asymmetric loss functions, Linlin and Linex, there is evidence that rationality of the joint forecasts of inflation and output cannot be rejected. We find that allowing for multivariate asymmetric loss functions does improve the evidence for rationality.

Keywords: Forecast rationality; Asymmetric loss; GARCH-M; Inflation–output forecasts (search for similar items in EconPapers)
JEL-codes: C1 C12 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:119:y:2013:i:2:p:168-171

DOI: 10.1016/j.econlet.2013.01.029

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