Predicting the Signs of Forecast Errors

The 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

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Year of publication:	2008-11-24
Authors:	Solferino, Nazaria ; Waldmann, Robert J.
Institutions:	Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia
Subject:	Rational Expectations \| Panel \| Loss Function \| Forecast \| Interest Rate

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Extent:	application/pdf
Series:	CEIS Research Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 135 27 pages
Classification:	G14 - Information and Market Efficiency; Event Studies ; E47 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

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