| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP3845
|
| DP3845 Trade Liberalization and Globalization: A Survey |
| Arye L. Hillman
|
| 发表日期 | 2003-03-25
|
| 出版年 | 2003
|
| 语种 | 英语
|
| 摘要 | In situations where a sequence of forecasts is observed, a common strategy is to examine ?rationality? conditional on a given loss function. We examine this from a different perspective - supposing that we have a family of loss functions indexed by unknown shape parameters, then given the forecasts can we back out the loss function parameters consistent with the forecasts being rational even when we do not observe the underlying forecasting model? We establish identification of the parameters of a general class of loss functions that nest popular loss functions as special cases and provide estimation methods and asymptotic distributional results for these parameters. The methods are applied in an empirical analysis of IMF and OECD forecasts of budget deficits for the G7 countries. We find that allowing for asymmetric loss can significantly change the outcome of empirical tests of forecast rationality. |
| 主题 | Financial Economics
|
| 关键词 | Imf
Oecd
Asymmetric loss
Macroeconomic forecasting
|
| URL | https://cepr.org/publications/dp3845
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532836
|
推荐引用方式
GB/T 7714 |
Arye L. Hillman. DP3845 Trade Liberalization and Globalization: A Survey. 2003.
|
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
