Multivariate test for forecast rationality under asymmetric loss functions: recent evidence from MMS survey of inflation-output forecasts

DOI10.1016/J.ECONLET.2013.01.029MaRDI QIDQ2437196zbMATH OpenOpenAlexFDO

Authors Yasemin Ulu

Publication date 3 March 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.01.029

zbMATH Keywords

asymmetric lossforecast rationalityGARCH-Minflation-output forecasts

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Estimation and Testing of Forecast Rationality under Flexible Loss
• Rationality testing under asymmetric loss
• Testing Forecast Optimality Under Unknown Loss
• Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
• Properties of optimal forecasts under asymmetric loss and nonlinearity

Cites work

• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• Estimation and Testing of Forecast Rationality under Flexible Loss
• Prediction with a Generalized Cost of Error Function
• Rationality testing under asymmetric loss
• Testing Forecast Optimality Under Unknown Loss

Cited in

(6)

• Re-examining the rational expectations hypothesis using panel data on multi-period forecasts
• Spreads versus professional forecasters as predictors of future output change
• Estimation and Testing of Forecast Rationality under Flexible Loss
• Irrationality or Efficiency of Macroeconomic Survey Forecasts? Implications from the Anchoring Bias Test*
• A test of the joint efficiency of macroeconomic forecasts using multivariate random forests
• On the directional accuracy of inflation forecasts: evidence from South African survey data

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