Predicting the Signs of Forecast Errors

Nazaria Solferino and Robert Waldmann ()
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Nazaria Solferino: Faculty of Economics, University of Rome "Tor Vergata", http://www.ceistorvergata.it

No 135, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: The signs of forecast errors can be predicted using the difference between individuals' forecasts and the average of earlier forecasts of the same variable. It is possible to improve forecasts without worsening any. It is difficult to reconcile this result with the rational expectations hypothesis, because the average of earlier forecasts is in the information set of the forecasters

Keywords: Rational Expectations; Panel; Loss Function; Forecast; Interest Rate. (search for similar items in EconPapers)
JEL-codes: E47 G14 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2008-11-24, Revised 2008-11-24
New Economics Papers: this item is included in nep-ecm, nep-for and nep-mac
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Journal Article: Predicting the signs of forecast errors (2010)
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