, 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 model-based forecasts obtained either with recursive or rolling window estimation … schemes, as well as to forecasts that are model-free. The proposed tests provide more evidence against forecast rationality …

, 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 model-based forecasts obtained either with recursive or rolling window estimation … schemes, as well as to forecasts that are model-free. The proposed tests provide more evidence against forecast rationality …

This paper proposes forecast optimality tests that can be used in unstable environments. They include tests for … forecast unbiasedness, efficiency, encompassing, serial uncorrelation, and, in general, regression-based tests of forecasting … robust tests suggest more empirical evidence against forecast rationality than previously found but con…firm that the Federal …