Search Results - subject:"regression-based tests of forecasting ability"

Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts

Rossi, Barbara; Sekhposyan, Tatevik - Department of Economics and Business, Universitat … - 2014

This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and efficiency tests, commonly referred to as tests of forecast rationality. Our framework is general: it can be applied to...

Persistent link: https://www.econbiz.de/10011099197

Forecast Optimality Tests in the Presence of Instabilities

Rossi, Barbara; Sekhposyan, Tatevik - Duke University, Department of Economics - 2011

forecast unbiasedness, efficiency, encompassing, serial uncorrelation, and, in general, regression-based tests of forecasting … ability. The proposed tests are applied to evaluate the rationality of the Federal Reserve Greenbook forecasts as well as a …

Persistent link: https://www.econbiz.de/10009276946

Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts

Rossi, Barbara; Sekhposyany, Tatevik - Barcelona Graduate School of Economics (Barcelona GSE) - 2014

Persistent link: https://www.econbiz.de/10011019694