Testing weak rationality of forecasts with different time horizons

Starting with conventional tests for weak rationality, the paper shows how additional tests can be performed if predictions with different time horizons are commonly used in them. Next, it shows that most of these tests can still be applied if the structure of the economic system changes but only some of them if the true system is unknown. Finally, these tests are applied to the semi-annual one- and two-step predictions of the group of five leading economic research institutes in the Federal Republic of Germany. For the two-step predictions the paper finds more evidence against the rational expectations hypothesis than for the one-step predictions.