Research output: Contribution to Journal/Magazine › Journal article › peer-review
An Evaluation of Quarterly National Institute Forecasts. / Holden, K; Peel, David.
In: Journal of Forecasting, Vol. 4, No. 2, 1985, p. 227-234.Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - An Evaluation of Quarterly National Institute Forecasts
AU - Holden, K
AU - Peel, David
PY - 1985
Y1 - 1985
N2 - This paper examines the quarterly forecasts by the U.K. National Institute of Economic and Social Research of the rate of inflation and the change in real gross domestic product and its components for horizons of one to four quarters ahead in the U.K. The forecasts are tested to see if they satisfy three implications of the rational expectations hypothesis: unbiasedness, efficiency and consistency. Explicit consideration is given to the information set available when the forecasts are made. In general, the data are consistent with the rational expectations hypothesis and our results provide encouragement for the view that aggregate expectations will meet the ex post requirements of rationality.
AB - This paper examines the quarterly forecasts by the U.K. National Institute of Economic and Social Research of the rate of inflation and the change in real gross domestic product and its components for horizons of one to four quarters ahead in the U.K. The forecasts are tested to see if they satisfy three implications of the rational expectations hypothesis: unbiasedness, efficiency and consistency. Explicit consideration is given to the information set available when the forecasts are made. In general, the data are consistent with the rational expectations hypothesis and our results provide encouragement for the view that aggregate expectations will meet the ex post requirements of rationality.
KW - Econometric forecasts
KW - Rational expectations U.K. economy
KW - National institute
U2 - 10.1002/for.3980040209
DO - 10.1002/for.3980040209
M3 - Journal article
VL - 4
SP - 227
EP - 234
JO - Journal of Forecasting
JF - Journal of Forecasting
SN - 0277-6693
IS - 2
ER -