We investigate the directional accuracy of GDP and price forecasts by the Japanese government and the IMF with a new method developed by Pesaran and Timmermann [Pesaran, M.H., Timmermann, A., 2009. Testing dependence among serially correlated multi-category variables. Journal of the American...

Most research focused on deficit, revenue and outlay in budget forecasts has addressed these issues separately. In this study, we investigate changes in budget forecasts from the Congressional Budget Office, applying a recently developed market-timing test. We find that the combined forecasts of...