Moving Endpoints and the Internal Consistency of Agents' Ex Ante Forecasts

Sharon Kozicki and Peter Tinsley

Computational Economics, 1998, vol. 11, issue 1-2, 40 pages

Abstract: Forecasts by rational agents contain embedded initial and terminal boundary conditions. Standard time series models generate two types of long-run boundary values or steady-state "endpoints"--fixed endpoints and moving average endpoints. Neither can explain the shifting endpoints implied by postwar movements in the cross-section of forward rate forecasts in the term structure or by post-l979 changes in survey estimates of expected long-run inflation. Multiperiod forecasts by a broader class of "moving endpoint" time series models provide substantially improved tracking of the historical term structure and generally support the internal consistency of the ex ante long-run expectations of bond traders and survey respondents. Citation Copyright 1998 by Kluwer Academic Publishers.

Date: 1998
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Working Paper: Moving endpoints and the internal consistency of agents' ex ante forecasts (1997)
Working Paper: Moving endpoints and the internal consistency of agents' ex ante forecasts (1996)
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