The Rationality of USDA Forecasts under Multivariate Asymmetric Loss
使用允许非对称损失和非分离预测误差的灵活多元损失函数，检验1988至2018年美国农业部净现金收入及WASDE产量与价格预测的理性，发现预测者虽理性但倾向于高估或低估。
A large number of previous studies suggest that many USDA forecasts are biased and/or inefficient. These findings, however, may be the result of the assumed loss function of USDA forecasters. We test the rationality of the USDA net cash income forecasts and the WASDE production and price forecasts between 1988 and 2018 using a flexible multivariate loss function that allows for asymmetric loss and non‐separable forecast errors. Our results provide robust evidence that USDA forecasters are rational expected loss minimizers yet demonstrate a tendency to place a greater weight on under‐ or overprediction. As a result, this study provides an alternate interpretation of previous findings of forecast irrationality.