Forecast Optimality Tests in the Presence of Instabilities
Bibliographic record
Abstract
This paper proposes forecast optimality tests that can be used in unstable environments. They include tests for forecast unbiasedness, e¢ ciency, encompassing, serial uncorrelation, and, in general, regression-based tests of forecasting ability. The proposed tests are applied to evaluate the rationality of the Federal Reserve Greenbook forecasts as well as a variety of survey-based private forecasts. In addition, we consider whether Money Market Services forecasts are rational. Our robust tests suggest more empirical evidence against forecast rationality than previously found but con…rm that the Federal Reserve has additional information about current and future states of the economy relative to market participants. Acknowledgements: We are grateful to Mike McCracken, Andrew Patton, Clara Vega and session participants at the 2011 Joint Statistical Meetings for comments. The views expressed in this paper are those of the authors. No responsibility should be attributed to the Bank of Canada.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.035 | 0.280 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.002 | 0.001 |
| Bibliometrics | 0.003 | 0.002 |
| Science and technology studies | 0.001 | 0.004 |
| Scholarly communication | 0.003 | 0.005 |
| Open science | 0.002 | 0.003 |
| Research integrity | 0.002 | 0.003 |
| Insufficient payload (model declined to judge) | 0.004 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".