Testing forecast rationality for measures of central tendency

Schmidt, Patrick W.; Patton, Andrew J.; Dimitriadis, Timo

Testing forecast rationality for measures of central tendency

dc.contributor.author	Schmidt, Patrick W.	de
dc.contributor.author	Patton, Andrew J.	de
dc.contributor.author	Dimitriadis, Timo	de
dc.date.accessioned	2024-04-08T08:59:44Z
dc.date.available	2024-04-08T08:59:44Z
dc.date.created	2020-10-22
dc.date.issued	2020
dc.description.abstract	Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or any convex combination thereof. We propose tests of forecast rationality when the measure of central tendency used by the respondent is unknown. We overcome an identification problem that arises when the measures of central tendency are equal or in a local neighborhood of each other, as is the case for (exactly or nearly) symmetric distributions. As a building block, we also present novel tests for the rationality of mode forecasts. We apply our tests to survey forecasts of individual income, Greenbook forecasts of U.S. GDP, and random walk forecasts for exchange rates. We find that the Greenbook and random walk forecasts are best rationalized as mean, or near-meanforecasts, while the income survey forecasts are best rationalized as mode forecasts.	en
dc.identifier.swb	1736223623
dc.identifier.uri	https://hohpublica.uni-hohenheim.de/handle/123456789/6548
dc.identifier.urn	urn:nbn:de:bsz:100-opus-18143
dc.language.iso	eng
dc.relation.ispartofseries	Hohenheim discussion papers in business, economics and social sciences; 2020,12
dc.rights.license	publ-mit-pod	en
dc.rights.license	publ-mit-pod	de
dc.rights.uri	http://opus.uni-hohenheim.de/doku/lic_mit_pod.php
dc.subject	Forecast evaluation	en
dc.subject	Weak identification	en
dc.subject	Survey forecasts	en
dc.subject	Mode forecasts	en
dc.subject.ddc	330
dc.subject.gnd	Prognose	de
dc.subject.gnd	Prognosemodell	de
dc.title	Testing forecast rationality for measures of central tendency	de
dc.type.dcmi	Text	de
dc.type.dini	WorkingPaper	de
local.access	uneingeschränkter Zugriff	en
local.access	uneingeschränkter Zugriff	de
local.bibliographicCitation.publisherPlace	Universität Hohenheim	de
local.export.bibtex	@techreport{Schmidt2020, url = {https://hohpublica.uni-hohenheim.de/handle/123456789/6548}, author = {Schmidt, Patrick W. and Patton, Andrew J. and Dimitriadis, Timo et al.}, title = {Testing forecast rationality for measures of central tendency}, year = {2020}, school = {Universität Hohenheim}, series = {Hohenheim discussion papers in business, economics and social sciences}, }
local.export.bibtexAuthor	Schmidt, Patrick W. and Patton, Andrew J. and Dimitriadis, Timo et al.
local.export.bibtexKey	Schmidt2020
local.export.bibtexType	@techreport
local.faculty.number	3	de
local.institute.number	520	de
local.opus.number	1814
local.series.issueNumber	2020,12
local.series.title	Hohenheim discussion papers in business, economics and social sciences
local.university	Universität Hohenheim	de
local.university.faculty	Faculty of Business, Economics and Social Sciences	en
local.university.faculty	Fakultät Wirtschafts- und Sozialwissenschaften	de
local.university.institute	Institute for Economics	en
local.university.institute	Institut für Volkswirtschaftslehre	de

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