Testing the Rationality of Price Forecasts: New Evidence from Panel Data
Testing the Rationality of Price Forecasts: New Evidence from Panel Data
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检验价格预测的合理性：来自面板数据的新证据
DOI：
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发表时间：
1990
期刊：
影响因子：
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通讯作者：
D. Runkle
中科院分区：
文献类型：
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作者：
M. Keane;D. Runkle
本文在一组专业预测者中检验了个体价格预测的合理性。在这里，与大多数以前的研究不同，理性没有被拒绝。这里的结果有所不同，因为（1）使用个人预测避免了聚合偏差，（2）预测与初始数据的比较避免了由于数据修订而产生的偏差，（3）专业预测者有经济激励来准确地陈述他们的预期，以及（4）当预测误差在个人之间相关时，使用了一个新的协方差矩阵估计器。版权所有1990年美国经济协会。
This paper tests the rationality of individual price forecasts in a panel of professional forecasters. Here, unlike in most previous studies, rationality is not rejected. The results here differ because (1) using individual forecasts avoids aggregation bias, (2) comparison of forecasts to initial data avoids bias due to data revision, (3) the professional forecasters have economic incentives to state their expectations accurately, and (4) a new covariance matrix estimator consistent when forecast errors are correlated across individuals is used. Copyright 1990 by American Economic Association.