Generalized Forecast Errors, A Change of Measure, and Forecast Optimality
نویسندگان
چکیده
This paper establishes properties of optimal forecasts under general loss functions, extending existing results obtained under speci c functional forms and data generating processes. We propose a new method that changes the probability measure under which the well-known properties of optimal forecasts under mean squared error loss can be recovered. We illustrate the proposed methods through an empirical application to U.S. ination forecasting.
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