Testing for bias in the VAR forecasts
Testing Models of Belief Bias: An Experiment
... optimism bias is by altering the consequences of actions taken while holding distorted ...affect testing rates, whereas in BB this will increase the direct costs of distorting beliefs, leading to higher ...
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Testing the Productivity Bias Hypothesis in Middle East Countries
... Productivity Bias Hypothesis in Middle East Countries Abstract Divergence of the purchasing power parity from the equilibrium exchange rate is attributed to various ...
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Testing for selectivity bias in panel data models
... In Section 4 we show how differences between the FE and RE estimators from a balenced and unbalanced design can be used to construct simple (quasi) Hausman tests of selectivity bias, whi[r] ...
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Confirmation bias and the testing of hypotheses about other people
... questions asked in the extravert hypothesis condition. compared to the introvert hypothesis condition, and also[r] ...
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Anchoring Bias in Consensus Forecasts and its Effect on Market Prices
... Professional forecasts of macroeconomic releases play an important role in markets, informing the decisions of both policymakers and private economic ...by testing time series of forecasts for ...
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"VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds"
... the VaR violations and the confidence level. However, simply testing for the correct unconditional coverage is insufficient when dynamics are present in the higher-order ...the VaR violations are not ...
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Is cognitive bias really present in analyst forecasts? The role of investor sentiment
... by testing whether investor sentiment affects EPS forecasts and whether the impact varies with stock ...cognitive bias in these ...cognitive bias in analyst forecasts by running two new ...
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Bayesian VAR forecasts, survey information and structural change in the euro area (1 MB)
... no bias for growth, a small positive and statistically significant bias for inflation in the short run, ...non-significant bias for the interest ...the bias is negative for GDP growth, ...
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Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?
... is testing if information about the dispersion of the forecasts is in the Fed’s information set when producing the forecasts given that the Fed uses a symmetric ...of forecasts from SPF, ...
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Irrational Bias in Inflation Forecasts
... the forecasts underestimated the negative effect of the high real interest rate on inflation, leading to over-prediction of future inflation ...Book forecasts are mostly driven by the inefficient use of ...
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Irrational Bias in Inflation Forecasts
... the forecasts underestimated the negative effect of the high real interest rate on inflation, leading to over-prediction of future inflation ...Book forecasts are mostly driven by the inefficient use of ...
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Nonparametric Tests For Bias In Estimates And Forecasts
... T h e mean algebraic percentage error (MALPE) can be used as the basis of a test for mean bias since the distribution of a function of MALPE is shown t o be asymptotica[r] ...
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Forecaster Behaviour and Bias in Macroeconomic Forecasts
... It is also possible that reliance on econometric methods makes it harder for forecasters to adapt, for two reasons. One is the underdevelopment of the supply side. In macroeconomic forecasting models, descriptions of ...
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Forecasts in a Slightly Misspecified Finite Order VAR
... benchmark forecasts for many economic time series, yet there is reason to suspect that some small amount of linear predictability remains be- yond the initial autoregressive ...
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Bias correcting precipitation forecasts to improve the skill of seasonal streamflow forecasts
... Seasonal forecasting methods in hydrology can be broadly divided into two categories: statistical methods, which use a statistical relationship between a predictor and a predictand (e.g. Jenicek et al., 2016, and ...
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Evaluating CPB's published GDP growth forecasts; a comparison with individual and pooled VAR based forecasts
... Appendix B Choice of benchmark There were two possible choices of benchmark GDP growth realisations available to us: GDP growth rates computed from the latest available GDP series or GDP growth rates using data compiled ...
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Option compensation and optimism bias in management earnings forecasts
... mistic bias in their ...forecast bias in line with prior research. Our results show that optimism bias in management earnings forecast increases as man- agers' stock option compensation ...optimism ...
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Performance, Bias, and Efficiency of Foreign Exchange Correlation Forecasts
... good forecasts. Both GARCH and RiskMetrics correlation forecasts show substantial predictive power in some ...correlations forecasts appear to complement each other. The best forecasts often ...
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Evaluating real-time VAR forecasts with an informative democratic prior
... the VAR with democratic prior D3— in some cases slightly higher, in other cases slightly ...the VAR allows econometricians to make forecasts at horizons not considered in the survey, for variables ...
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Bootstrap multi-step forecasts of non-Gaussian VAR models
... multivariate VAR(p) ...the VAR model has roots close to the unit circle, and clearly better in the presence of highly persistent VAR ...density forecasts in multivariate ...
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