Moving endpoints and the internal consistency of agents' ex ante forecasts

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Abstract
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 provide substantially improved tracking of the historical term structure and generally support the internal consistency of the ex ante long-run expectations of bond traders and survey respondents.
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