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On Testing for Unbiasedness and Efficiency of Forecasts

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  • Holden, K
  • Peel, D A
Abstract
This note demonstrates that the conventional test for unbiasedness of forecasts or expectations of estimating Y = "alpha"(subscript "1") + "beta"(subscript "1")F + u where Y is the outcome and F is the forecast, and testing whether "alpha"(subscript "1" = 0 and "beta"(subscript "1") = 1 is a sufficient, but not a necessary, condition for unbiasedness. A necessary and sufficient condition for unbiasedness, based on the conventional test, is presented. Copyright 1990 by Blackwell Publishers Ltd and The Victoria University of Manchester

Suggested Citation

  • Holden, K & Peel, D A, 1990. "On Testing for Unbiasedness and Efficiency of Forecasts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 58(2), pages 120-127, June.
    • Handle: RePEc:bla:manch2:v:58:y:1990:i:2:p:120-27
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