On Aggregation Bias in Fixed-Event Forecast Efficiency Tests

Isiklar, Gultekin

doi:10.2139/ssrn.641481

Cited by 4 publications

(4 citation statements)

References 7 publications

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“…It should be noted that the pooled approach is different from testing efficiency on the consensus forecast. Efficiency tests on the consensus forecast are known to be biased due to aggregation bias (Isiklar 2005). This is why we do not consider the consensus for the efficiency test.…”

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confidence: 99%

An evaluation of Chinese macroeconomic forecasts

Deschamps

Bianchi

2012

Journal of Chinese Economic and Business Studies

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This article evaluates the quality of professional macroeconomic forecasts in China for the years 1995-2009. Using a large panel of forecasts on four macroeconomic variables (GDP, inflation, consumption and investment), we reject the hypothesis of unbiasedness, and find that forecasters have been, on average, overly pessimistic. The source of the bias lies primarily in forecasters' slow adjustment to structural shocks to the level of economic growth. We also reject the hypothesis that forecasters use information efficiently, and find that a large number of forecasters overreact to economic news. Finally, we document large differences of forecast accuracy across both forecasters and variables.

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confidence: 99%

An evaluation of Chinese macroeconomic forecasts

Deschamps

Bianchi

2012

Journal of Chinese Economic and Business Studies

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“…Garrett (2003) derives the theoretical conditions under which the magnitudes of the estimates and the standard errors can be different when the regression analysis uses aggregated versus disaggregated data. Various areas of literature including macroeconomics (e.g., Blis, 1985;Ravallion, 1998), the economics of crime (e.g., Cherry & List, 2002;Cornwell & Trumbell, 1994), demand analysis (e.g., Davis, 1997;Mittelhammer, Shi, & Wahl, 1996), forecasting (e.g., Isiklar, 2005), discrimination (Mongeon & Mittelhammer, 2013), and econometrics (e.g., Choi, 1992;Lee, Pesaran, & Pierse, 1990) have found implications in their empirical findings derived from analyzing aggregated data. Unfortunately, I only have one season of game-level data.…”

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confidence: 99%

A Market Test for Ethnic Discrimination in the National Hockey League

Mongeon

2013

Journal of Sports Economics

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This article tests for salary discrimination based on player ethnicities in the National Hockey League across various geographical locations with a market model that analyzes every game played during the 2010-2011 season. Using both the relative share of game-team players on the starting roster and time on ice as inputs, results suggest that, relative to English Canadian players, French Canadian and American players playing on Canadian teams suffer from wage discrimination. Potential confounding factors that can influence the inferences, as well as the limitations, of the market model approach are discussed.

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“…Mittelhammer et al, 1996;Davis, 1997), forecasting (e.g. Isiklar, 2005) and econometrics (e.g. Lee et al, 1990;Choi, 1992), to name but a few.…”

Section: Introductionmentioning

confidence: 99%

To discriminate or not to discriminate – Is data aggregation the question?

Mongeon

Mittelhammer

2013

Applied Economics Letters

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Previous professional sports discrimination studies rely heavily on aggregated data to the game level and therefore do not control for unobservable within game heterogeneity. This article uses an established testing methodology for assessing discrimination among professional sports adjudicators and compares inferences when data are and are not aggregated above an influential factor that affects within game foul/penalty rates. Substantial differences in conclusions are found suggesting that a number of inferences in the literature relating to discrimination in various contexts may be fragile. The issue and findings have potential relevance to a wide range of related studies.

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On Aggregation Bias in Fixed-Event Forecast Efficiency Tests

Cited by 4 publications

References 7 publications

An evaluation of Chinese macroeconomic forecasts

An evaluation of Chinese macroeconomic forecasts

A Market Test for Ethnic Discrimination in the National Hockey League

To discriminate or not to discriminate – Is data aggregation the question?

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