Rationality and Quality of Inflation Forecasts
Résumé
In this paper, individual forecasts from SPF-US and SPF-ECB are subject to rationality test. Firstly, all forecasts are classified as "rational" or "non-rational" according to different types of loss functions. Then, we calculated average forecast for two subgroups and for all forecasters. After that, three groups are pairwisely compared in terms of forecast's accuracy using modified Diebold-Mariano statistics. Finally, we conducted rationality test for consensus forecast for both datasets.
Domaines
Economies et finances
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