Multivariate Forecast Evaluation and Rationality Testing
提出一类新的多元损失函数，用于检验向量预测的理性，无需假设变量间独立，并应用于名义产出增长率、CPI通胀率和短期利率的宏观经济预测联合理性检验。
In this paper, we propose a new family of multivariate loss functions to test the rationality of vector forecasts without assuming independence across variables. When only one variable is of interest, the loss function reduces to the flexible asymmetric family proposed by Elliott, Komunjer, and Timmerman (2008). Following their methodology, we derive~a GMM test for multivariate forecast rationality that allows the forecaster's loss to be nonseparable across variables and takes into account forecast estimation uncertainty. We use our test to study the joint rationality of macroeconomic forecasts in the growth rate of nominal output, CPI inflation rate, and short-term interest rate. © 2012 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.