Rationality testing under asymmetric loss

DOI10.1016/S0165-1765(98)00157-8zbMath0911.90085MaRDI QIDQ1274785

Roy Batchelor, David A. Peel

Publication date: 12 January 1999

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

rational expectationsforecastingARCH model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Kernel estimation under linear-exponential loss ⋮ Multivariate test for forecast rationality under asymmetric loss functions: recent evidence from MMS survey of inflation-output forecasts ⋮ Properties of optimal forecasts under asymmetric loss and nonlinearity ⋮ Providing support for decisions based on time series information under conditions of asymmetric loss ⋮ Bayesian estimation using (Linex) for generalized power function distribution ⋮ Predicting the signs of forecast errors

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Prediction with a Generalized Cost of Error Function

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