Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/219168 
Year of Publication: 
2020
Series/Report no.: 
CESifo Working Paper No. 8350
Publisher: 
Center for Economic Studies and Ifo Institute (CESifo), Munich
Abstract: 
We reformulate the Nordhaus test as a friction model where the large number of zero revisions are treated as censored, i.e., unknown values inside a small region of “imperceptibility.” Using Blue Chip individual forecasts of U.S. real GDP growth, inflation, and unemployment over 1985-2020, we find pervasive overreaction to news at most of the monthly forecast horizons from 24 to 1, but the degree of inefficiency is very small. The updaters, i.e., those who make non-zero revisions, are not found to perform better than their “inattentive” peers do.
Subjects: 
Nordhaus test
expectations updating
forecast efficiency
fixed-event forecasts
inattentive forecasters
JEL: 
C53
E27
E37
Document Type: 
Working Paper
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