June 2023 A Comprehensive Empirical Evaluation of Biases in Expectation Formation Kenneth Eva and Fabian Winkler Abstract: We revisit predictability of forecast errors in macroeconomic survey data, which is often taken as evidence of behavioral biases at odds with rational expectations. We argue that to reject rational expectations, one must be able to predict forecast errors out of sample. However, the regressions used in the literature often perform poorly out of sample.
