Bias, rationality and asymmetric loss functions

Constantin Bürgi

Economics Letters, 2017, vol. 154, issue C, 113-116

Abstract: In the literature, it is a common empirical finding that survey based expectations are biased at the individual level. This has sparked a large debate if forecasters have asymmetric loss functions or the rationality assumption is violated. In this paper, I will show that the bias can in large part be explained by the pattern of missing observations in the survey. Thus the assumption of asymmetric loss functions is not required to satisfy the rationality assumption.

Keywords: Forecast bias; Asymmetric loss function; Expectations; SPF; Bloomberg survey (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 E17 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:154:y:2017:i:c:p:113-116

DOI: 10.1016/j.econlet.2017.03.002

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