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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/10005737257
Survey data on expectations frequently find evidence that forecasts are biased, rejecting the joint hypothesis of rational expectations and symmetric loss. While the literature has attempted to explain this bias through forecasters' strategic behavior, we propose a simpler explanation based on...
Persistent link: https://www.econbiz.de/10005702628
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
Persistent link: https://www.econbiz.de/10001748802
Persistent link: https://www.econbiz.de/10003173820
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
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