Article ID Journal Published Year Pages File Type
9549194 Economics Letters 2005 5 Pages PDF
Abstract
This note shows that problems due to aggregation in fixed-event forecast efficiency tests are not as severe as they are in unbiasedness tests. We also show that first lags of consensus revisions should be avoided in the tests.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
On aggregation bias in fixed-event forecast efficiency tests
Authors
,