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Does My Model Predict a Forward Guidance Puzzle?
Gibbs, Christopher - 2020
We provide sufficient conditions for when a rational expectations structural model predicts bounded responses of …)xpectation-stability conditions that govern when agents can learn a Rational Expectations Equilibrium. The conditions are distinct from the …
Persistent link: https://www.econbiz.de/10012827118
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Adaptive learning and survey data
Markiewicz, Agnieszka; Pick, Andreas - 2014
Persistent link: https://www.econbiz.de/10010237296
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Adaptive learning and survey data
Markiewicz, Agnieszka; Pick, Andreas - 2013
Persistent link: https://www.econbiz.de/10010241563
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Adaptive learning and survey data
Markiewicz, Agnieszka; Pick, Andreas - In: Journal of economic behavior & organization : JEBO 107 (2014) 2, pp. 685-707
Persistent link: https://www.econbiz.de/10011295902
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Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Christopeit, Norbert; Massmann, Michael - 2010
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive …
Persistent link: https://www.econbiz.de/10010325749
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Generalized stochastic gradient learning
Evans, George W.; Honkapohja, Seppo; Williams, Noah - 2005
We study the properties of generalized stochastic gradient (GSG) learning in forward-looking models. We examine how the conditions for stability of standard stochastic gradient (SG) learning both differ from and are related to E-stability, which governs stability under least squares learning. SG...
Persistent link: https://www.econbiz.de/10010261355
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A note on the representative adaptive learning algorithm
Berardi, Michele; Galimberti, Jaqueson K. - 2014
We compare forecasts from different adaptive learning algorithms and calibrations applied to US real-time data on inflation and growth. We find that the Least Squares with constant gains adjusted to match (past) survey forecasts provides the best overall performance both in terms of forecasting...
Persistent link: https://www.econbiz.de/10010344932
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Noisy information and fundamental disagreement
Andrade, Philippe; Crump, Richard K.; Eusepi, Stefano; … - 2013
We study the term structure of disagreement of professional forecasters for key macroeconomic variables. We document a novel set of facts: 1) forecasters disagree at all horizons, including the very long run; 2) the shape of the term structure of disagreement differs markedly across variables:...
Persistent link: https://www.econbiz.de/10010222893
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Optimal foresight
Chahrour, Ryan; Jurado, Kyle - 2020
Agents have foresight when they receive information about a random process above and beyond the information contained in its current and past history. In this paper, we propose an information-theoretic measure of the quantity of foresight in an information structure, and show how to separate...
Persistent link: https://www.econbiz.de/10012606997
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Heterogeneous expectations among professional forecasters
Conrad, Christian; Lahiri, Kajal - 2023
Macroeconomic expectations of various economic agents are characterized by substantial cross-sectional heterogeneity …. In this paper, we focus on expectations heterogeneity among professional forecasters. We first present stylized facts and … discuss theoretical explanations for heterogeneous expectations. We then provide an overview of the empirical evidence …
Persistent link: https://www.econbiz.de/10014472058