What Do Private Agents Believe about the Time Series Properties of GNP?
AbstractThis paper presents and implements a procedure whereby private agents' beliefs about the time-series properties of real output can be estimated using forecasts they have made. There are two interesting features of the estimates. First, private agents' beliefs about the impulse response coefficients for U.S. real GNP are too low, by and large, to be reconciled with the results obtained when standard Box-Jenkins techniques are applied to the real GNP data. Second, there appears to be an appreciable amount of diversity in beliefs across forecasters.
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Bibliographic InfoArticle provided by Canadian Economics Association in its journal Canadian Journal of Economics.
Volume (Year): 25 (1992)
Issue (Month): 2 (May)
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Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4
Web page: http://economics.ca/cje/
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- Min Fan, 2006. "Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia," Annals of Finance, Springer, vol. 2(3), pages 259-285, July.
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