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Master Thesis

Rationality and Quality of Inflation Forecasts

Abstract : 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.
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Master Thesis
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https://dumas.ccsd.cnrs.fr/dumas-01095389
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Submitted on : Monday, December 15, 2014 - 3:18:30 PM
Last modification on : Sunday, January 19, 2020 - 6:38:36 PM
Long-term archiving on: : Monday, March 16, 2015 - 12:06:36 PM

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  • HAL Id : dumas-01095389, version 1

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Victoria Petrenko. Rationality and Quality of Inflation Forecasts. Economics and Finance. 2014. ⟨dumas-01095389⟩

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