Testing the Rationality of Price Forecasts: New Evidence from Panel Data.
This paper tests the rationality of individual price forecasts in a panel of professional forecasters. Here, unlike in most previous studies, rationality is not rejected. The results here differ because (1) using individual forecasts avoids aggregation bias, (2) comparison of forecasts to initial data avoids bias due to data revision, (3) the professional forecasters have economic incentives to state their expectations accurately, and (4) a new covariance matrix estimator consistent when forecast errors are correlated across individuals is used. Copyright 1990 by American Economic Association.
Year of publication: |
1990
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Authors: | Keane, Michael P ; Runkle, David E |
Published in: |
American Economic Review. - American Economic Association - AEA. - Vol. 80.1990, 4, p. 714-35
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Publisher: |
American Economic Association - AEA |
Saved in:
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