An Application of Operational-Subjective Statistical Methods to Rational Expectations |
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| Authors: | Gail Blattenberger Frank Lad |
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| Institution: | 1. Department of Economics , University of Utah , Salt Lake City , UT , 84112;2. Department of Mathematics , University of Canterbury , Christchurch , New Zealand |
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| Abstract: | This article presents a sequential scoring analysis of six econometric forecast distributions for the main components of the annual U.S. gross national product (GNP) accounts—nominal GNP, real GNP, and the implicit price deflator. Analysis of sequential forecasts is presented in terms of proper scoring rules. Computations relevant to the calibration and refinement properties of the forecast distributions are discussed. Annual data are studied for the period 1952–1982. The six forecast distributions are distinguished by the different stances they entail with respect to a subjectivist characterization of the rational-expectations hypothesis. |
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| Keywords: | Calibration Proper scoring rules Refinement Sequential forecasting |
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