the informational efficiency of economic forecasts

abstract: assuming forecasting procedures to be consistent with the assumptions of the rational expectations hypothesis, a set of economic forecasts published by the austrian institute for economic research is tested for informational efficiency. first, the relationship between the concepts "optimal prediction" and "rational expectations" is discussed and the appropriate testing methodology described. in applying the tests, considerable care has been expended to circumvent possible methodological pitfalls. three of the seven series tested are found to be informationally inefficient. it is suggested that such a result could be caused by pessimistic attitudes among forecasters, or in technical terms, that forecasters exhibit asymmetric loss functions. additionally, the results of the paper demonstrate that the standard criteria for evaluating forecasting accuracy should be supplemented with tests for informational efficiency because judgements based on the standard criteria generally donot take into account the stochastic nature of the time series to be forecasted.;