INFORMATION-CONTENT OF FORECAST ERRORS

Authors
SHAFFER S
Citation
S. Shaffer, INFORMATION-CONTENT OF FORECAST ERRORS, Economics letters, 59(1), 1998, pp. 45-48
Citations number
8
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
59
Issue
1
Year of publication
1998
Pages
45 - 48
Database
ISI
SICI code
0165-1765(1998)59:1<45:IOFE>2.0.ZU;2-9
Abstract
Prompted by theories of forecast announcement effects, this note tests for usable information content of forecast errors. Simple adjustments are found to improve out-of-sample forecast accuracy, even when the o riginal forecast series exhibited only marginally significant bias. (C ) 1998 Elsevier Science S.A.