On aggregation bias in fixed-event forecast efficiency tests

This note shows that problems due to aggregation in fixed-event forecast efficiency tests are not as severe as they are in unbiasedness tests. We also show that first lags of consensus revisions should be avoided in the tests.

MoreLess

Year of publication:	2004-12-27
Authors:	Isiklar, Gultekin
Institutions:	EconWPA
Subject:	Aggregation bias \| fixed-event \| weak-efficiency

More details

Extent:	application/pdf
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 8 8 pages
Classification:	C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005119095