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Empirical studies using survey data on expectations have frequently observed that forecasts are biased and have concluded that agents are not rational. We establish that existing rationality tests are not robust to even small deviations from symmetric loss and hence have little ability to tell...
Persistent link: https://www.econbiz.de/10010904281
Empirical studies using survey data on expectations have frequently observed that forecasts are biased and have concluded that agents are not rational. We establish that existing rationality tests are not robust to even small deviations from symmetric loss and hence have little ability to tell...
Persistent link: https://www.econbiz.de/10005245711
In situations where a sequence of forecasts is observed, a common strategy is to examine "rationality" conditional on a given loss function. We examine this from a different perspective—supposing that we have a family of loss functions indexed by unknown shape parameters, then given the...
Persistent link: https://www.econbiz.de/10010638106
Persistent link: https://www.econbiz.de/10007638911
Empirical studies using survey data on expectations have frequently observed that forecasts are biased and have concluded that agents are not rational. We establish that existing rationality tests are not robust to even small deviations from symmetric loss and hence have little ability to tell...
Persistent link: https://www.econbiz.de/10005737257
In situations where a sequence of forecasts is observed, a common strategy is to examine ‘rationality’ conditional on a given loss function. We examine this from a different perspective - supposing that we have a family of loss functions indexed by unknown shape parameters, then given the...
Persistent link: https://www.econbiz.de/10005791975
We analyze the complete subset regression (CSR) approach of Elliott et al. (2013) in situations with many possible predictor variables. The CSR approach has the computational advantage that it can be applied even when the number of predictors exceeds the sample size. Theoretical results...
Persistent link: https://www.econbiz.de/10011264276
This article proposes a new forecast combination method that lets the combination weights be driven by regime switching in a latent state variable. An empirical application that combines forecasts from survey data and time series models finds that the proposed regime switching combination scheme...
Persistent link: https://www.econbiz.de/10005384649
Existing results on the properties and performance of forecast combinations have been derived in the context of mean squared error loss. Under this loss function empirical studies have generally found that estimates of optimal forecast combination weights lead to higher losses than...
Persistent link: https://www.econbiz.de/10010536497
Persistent link: https://www.econbiz.de/10006013988