Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts
提出在不稳定环境下检验预测无偏性和效率的回归方法，应用于美联储绿皮书和调查预测，发现更多证据反对预测理性，但确认美联储拥有额外信息。
This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and efficiency tests, commonly referred to as tests of forecast rationality. Our framework is general: it can be applied to model-based forecasts obtained either with recursive or rolling window estimation schemes, as well as to forecasts that are model free. The proposed tests provide more evidence against forecast rationality than previously found in the Federal Reserve's Greenbook forecasts as well as survey-based private forecasts. It confirms, however, that the Federal Reserve has additional information about current and future states of the economy relative to market participants.