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Multivariate test for forecast rationality under asymmetric loss functions: Recent evidence from MMS survey of inflation–output forecasts

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  • Ulu, Yasemin

Abstract

We propose a multivariate test for forecast rationality under asymmetric loss functions and test jointly the rationality of inflation–output forecasts of the MMS survey for the US. Our results indicate that even though the rationality of the forecasts individually may be rejected under two popular univariate asymmetric loss functions, Linlin and Linex, there is evidence that rationality of the joint forecasts of inflation and output cannot be rejected. We find that allowing for multivariate asymmetric loss functions does improve the evidence for rationality.

Suggested Citation

  • Ulu, Yasemin, 2013. "Multivariate test for forecast rationality under asymmetric loss functions: Recent evidence from MMS survey of inflation–output forecasts," Economics Letters, Elsevier, vol. 119(2), pages 168-171.
    • Handle: RePEc:eee:ecolet:v:119:y:2013:i:2:p:168-171
    DOI: 10.1016/j.econlet.2013.01.029
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Forecast rationality; Asymmetric loss; GARCH-M; Inflation–output forecasts;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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