Evolution of forecast disagreement in a Bayesian learning model

DOI10.1016/J.JECONOM.2008.02.002MaRDI QIDQ295391zbMATH OpenOpenAlexFDO

Authors Kajal Lahiri, Xuguang Sheng

Publication date 13 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.02.002

zbMATH Keywords

panel dataBayesian learningconsensus forecastdifferential interpretationforecast disagreementforecast efficiencyforecast horizonpublic information

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3195782 (Why is no real title available?)
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• Agreeing to disagree
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• Are People Bayesian? Uncovering Behavioral Strategies
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• Forecasting -- looking back and forward: paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam
• Information processing and Bayesian analysis.
• Macroeconomic Expectations of Households and Professional Forecasters
• On the structure and diversity of rational beliefs
• Rational Expectations Equilibria, Learning, and Model Specification
• Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve
• The unbalanced nested error component regression model

Cited in

(6)

• Explaining disagreement on interest rates in a Taylor-rule setting
• Are professional forecasters Bayesian?
• Distrust in experts and the origins of disagreement
• Monetary policy rules and opinionated markets
• Uncertainty measures from partially rounded probabilistic forecast surveys
• Quantifying noise in survey expectations

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