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Using prior bias to improve forecast accuracy

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  • Sherrill Shaffer

Abstract

The study tests whether removing bias can improve out-of-sample forecast accuracy in two series of interest rates. The samples are larger than previously studied in this context, and the test is cleaner since reported interest rates are never revised.

Suggested Citation

  • Sherrill Shaffer, 2003. "Using prior bias to improve forecast accuracy," Applied Economics Letters, Taylor & Francis Journals, vol. 10(8), pages 459-461.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:8:p:459-461
    DOI: 10.1080/1350485032000090758
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    Cited by:

    1. Ming-Chih Lee & Chien-Liang Chiu & Wan-Hsiu Cheng, 2007. "Enhancing Forecast Accuracy By Using Long Estimation Periods," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 1(2), pages 1-9.
    2. Robert Kremer & Sherrill Shaffer, 2007. "Improving the accuracy of forward exchange rate forecasts by correcting for prior bias," Applied Financial Economics, Taylor & Francis Journals, vol. 17(18), pages 1469-1478.

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