Predicting the Signs of Forecast Errors
Copyright policy )Predicting the Signs of Forecast Errors
AbstractThe 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. Copyright © 2009 John Wiley & Sons, Ltd.
- National Bureau of Economic Research United States
- University of Rome Tor Vergata Italy
Rational Expectations, forecast, Settore SECS-P/06 - ECONOMIA APPLICATA, Interest Rate, loss function, Loss Function, rational expectations, Panel, Forecast, Statistical methods; economic indices and measures, Rational Expectations, Panel, Loss Function, Forecast, Interest Rate, panel, interest rate
Rational Expectations, forecast, Settore SECS-P/06 - ECONOMIA APPLICATA, Interest Rate, loss function, Loss Function, rational expectations, Panel, Forecast, Statistical methods; economic indices and measures, Rational Expectations, Panel, Loss Function, Forecast, Interest Rate, panel, interest rate
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