Forecast loss differentials are reframed as returns and assessed with risk-adjusted finance metrics, showing professional forecasters are harder to beat on risk-adjusted performance than on raw accuracy in US macro forecasting.
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Closed-form consistent and asymptotically normal estimator for panels with attrition under a new nonparametric identifying assumption using refreshment samples.
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Quantifying the Risk-Return Tradeoff in Forecasting
Forecast loss differentials are reframed as returns and assessed with risk-adjusted finance metrics, showing professional forecasters are harder to beat on risk-adjusted performance than on raw accuracy in US macro forecasting.