文章基本信息

标题：Testable Implications of Forecast Optimality
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作者：Andrew J. Patton ; Allan Timmermann
期刊名称：Japanese Studies Programme Papers
出版年度：2005
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast horizon grows. This paper considers properties of optimal forecasts under general loss functions and establishes new testable implications of forecast optimality. These hold when the forecaster's loss function is unknown but testable restrictions can be imposed on the data generating process, trading off conditions on the data generating process against conditions on the loss function. Finally, we propose flexible parametric estimation of the forecaster's loss function, and obtain a test of forecast optimality via a test of over-identifying restrictions
关键词：forecast evaluation; loss function; rationality tests