Test A

Testing for bias

: mean error (constant only)

1.09 (0.239348)^*

Test B

Is the information in the forecast fully exploited?

−0.38 (0.1564)^**

3.15 (0.8692)^*

Adjusted R²

0.034

p-value

0.015

Test C

Are forecasting errors persistent?

0.961 (0.023)^*

0.02 (0.07)

Adjusted R²

0.925

Test D

Are the macroeconomic data fully exploited?

−0.973 (1.13)

−0.251 (0.193)

0.064 (0.132)

−0.348 (0.113)^*

0.888 (0.175)^*

Adjusted R²

0.21

p-value

0