A new framework for analyzing survey forecasts using three-dimensional panel data

DOI10.1016/0304-4076(94)01649-KzbMath0831.62095OpenAlexW1982731704WikidataQ57310548 ScholiaQ57310548MaRDI QIDQ1899231

Anthony Davies, Kajal Lahiri

Publication date: 13 February 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01649-k

zbMATH Keywords

rational expectationspanel datanewsvolatilityforecast errorsaggregate shocksgeneralized method of moments estimationBlue Chip Surveyidiosyncratic errorstest for forecast rationality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (5)

Evolution of forecast disagreement in a Bayesian learning model ⋮ A panel data approach to economic forecasting: the bias-corrected average forecast ⋮ On aggregation bias in fixed-event forecast efficiency tests ⋮ Quantifying noise in survey expectations ⋮ Comparing forecasting performance in cross-sections

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing the adequacy of a time series model
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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