Moving Endpoints and the Internal Consistency of Agents ' Ex Ante Forecasts

  title={Moving Endpoints and the Internal Consistency of Agents ' Ex Ante Forecasts},
  author={Sharon Kozicki and Peter A. Tinsley},
Forecasts by rational agents contain embedded initial and terminal boundary conditions. Standard time series models generate two types of long-run “endpoints”—fixed endpoints and moving average endpoints. Neither can explain the shifting endpoints implied by postwar movements in the cross-section of forward rate forecasts in the term structure or by post-1979 changes in survey estimates of expected inflation. Multiperiod forecasts by a broader class of “moving endpoint” time series models… CONTINUE READING

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