In this paper we define a family of tests for the Martingale Difference Hypothesis (MDH) based upon a shrinkage principle. Tests within this family are such that rejection of the null implies that forecasts from the alternative model, adjusted by a shrinkage factor, will display lower Mean...

In this paper we take an in-depth view of one particular type of inefficiency that may be present in the combination of forecasts: Mincer and Zarnowitz (MZ) inefficiency. Under mild assumptions we show that weighted combinations of forecasts are MZ-inefficient with probability one. We also show...

Communication with the public is an ever-growing practice among central banks and complements their decisions of interest rate setting. In this paper we examine one feature of the communicational practice of the Central Bank of Chile (CBC) which summarizes the assessment of the Board about the...