This paper proposes forecast optimality tests that can be used in unstable environments. They include tests for forecast unbiasedness, effi ciency, encompassing, serial uncorrelation, and, in general, regression-based tests of forecasting ability. The proposed tests are applied to evaluate the rationality of the Federal Reserve Greenbook forecasts as well as a variety of survey-based private forecasts. Our robust tests suggest more empirical evidence against forecast rationality than previously found but confirm that the Federal Reserve has additional information about current and future states of the economy relative to market participants. Joint with Tatevik Sekhposyan.