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In situations where a sequence of forecasts is observed, a common strategy is to examine “rationality” conditional on a given loss function. We examine this from a different perspective— supposing that we have a family of loss functions indexed by unknown shape parameters, then given the...
Persistent link: https://www.econbiz.de/10009450327
We analyze the complete subset regression (CSR) approach of Elliott et al. (2013) in situations with many possible predictor variables. The CSR approach has the computational advantage that it can be applied even when the number of predictors exceeds the sample size. Theoretical results...
Persistent link: https://www.econbiz.de/10011264276
Empirical studies using survey data on expectations have frequently observed that forecasts are biased and have concluded that agents are not rational. We establish that existing rationality tests are not robust to even small deviations from symmetric loss and hence have little ability to tell...
Persistent link: https://www.econbiz.de/10010904281
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Persistent link: https://www.econbiz.de/10006013988
Empirical studies using survey data on expectations have frequently observed that forecasts are biased and have concluded that agents are not rational. We establish that existing rationality tests are not robust to even small deviations from symmetric loss and hence have little ability to tell...
Persistent link: https://www.econbiz.de/10005737257
Forecasts guide decisions in all areas of economics and finance and their value can only be understood in relation to, and in the context of, such decisions. We discuss the central role of the loss function in helping determine the forecaster's objectives. Decision theory provides a framework...
Persistent link: https://www.econbiz.de/10005756732
Persistent link: https://www.econbiz.de/10005122772
Empirical studies using survey data on expectations have frequently observed that forecasts are biased and have concluded that agents are not rational. We establish that existing rationality tests are not robust to even small deviations from symmetric loss and hence have little ability to tell...
Persistent link: https://www.econbiz.de/10005245711
Existing results on the properties and performance of forecast combinations have been derived in the context of mean squared error loss. Under this loss function empirical studies have generally found that estimates of optimal forecast combination weights lead to higher losses than...
Persistent link: https://www.econbiz.de/10010536497