Testing the Rationality of Price Forecasts: New Evidence from Panel Data
利用专业预测者的面板数据检验价格预测的理性，通过避免聚合偏差、数据修订偏差、考虑经济激励并使用新的协方差矩阵估计量，发现理性未被拒绝。
This paper tests the rationality of individual price forecasts in a panel of professional forecasters. Here, unlike in most previous studies, rationality is not rejected. The results here differ because (1) using individual forecasts avoids aggregation bias, (2) comparison of forecasts to initial data avoids bias due to data revision, (3) the professional forecasters have economic incentives to state their expectations accurately, and (4) a new covariance matrix estimator consistent when forecast errors are correlated across individuals is used. Copyright 1990 by American Economic Association.