Estimation and Testing of Forecast Rationality under Flexible Loss

By Graham Elliott, Ivana Komunjer, Allan G. Timmermann. 2005

334 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d88b9fb1ebc2e8737ca096705c48edbc90e61f3c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Fotios Petropoulos
2. Konstantinos Nikolopoulos
3. Rob J Hyndman
4. Nikolaos Kourentzes
5. Vassilios Assimakopoulos
6. Evangelos Spiliotis
7. Spyros Makridakis
8. Allan G. Timmermann

In Finance

1. Michael P. Clements
2. David I. Harvey
3. Norman R. Swanson
4. David E. Rapach
5. Valentina Corradi
6. David F. Hendry
7. Jonathan H. Wright
8. Eric Ghysels

In Management Science and Operations Research

1. Fotios Petropoulos
2. Rob J Hyndman
3. Konstantinos Nikolopoulos
4. Nikolaos Kourentzes
5. Vassilios Assimakopoulos
6. Spyros Makridakis
7. Evangelos Spiliotis
8. Christoph Bergmeir

Citations in the corpus

• Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious? (2005, neutral): “Expression (21) can be cast in a regression setting.”
• Testing Forecast Optimality Under Unknown Loss (2007, neutral): “With just a few nodes, this class of loss functions is very flexible, nesting both MSE and MAE as special cases, as well as lin–lin, the symmetric nonconvex loss function of Granger (1969), and the class of loss functions used by Elliott et al. (2005). If we further impose that the spline is continu”
• Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise (2017, neutral): “Research calling attention to and analyzing the potential heterogeneity of response practices include Elliott, Komunjer, and Timmermann (2005, 2008), Engelberg et al. (2009), and Clements (2009).”
• Trade and Uncertainty (2014, methodology): “We refer to the theory appendix where we discuss stockout avoidance in more detail and introduce an asymmetric loss function based on Elliott, Komunjer, and Timmermann (2005).”
• Forecasting: theory and practice (2020, methodology): “Early statistical approaches adopted a range of strategies to estimate combination weights including (i) minimizing in-sample forecast error variance among forecast candidates (Bates and Granger, 1969; Newbold and Granger, 1974; Min and Zellner, 1993), (ii) formulation and estimation via ordinary le”
• Forecast Combination and Encompassing (2009, background): “Elliott, Komunjer and Timmermann (2005) , Patton and Timmermann (2006) and Clements (2007).”
• Forecasting Professional Forecasters (2009, background): “[7] Elliott, Graham, Ivana Komunjer and Allan Timmermann, 2005, Estimation and Testing of Forecast Rationality Under Flexible Loss, Review of Economic Studies, 72, 11071125.”
• Information in the Revision Process of Real-Time Datasets (2008, positive): “Of course, as pointed out by Elliott, Komunjer, and Timmermann (2005), if data agencies have asymmetric loss functions, then they may produce biased releases, even if available information is used efficiently.”