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

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  • Davies, Anthony
  • Lahiri, Kajal

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 68 (1995)
Issue (Month): 1 (July)
Pages: 205-227

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Handle: RePEc:eee:econom:v:68:y:1995:i:1:p:205-227

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Goodfriend, Marvin, 1992. "Information-Aggregation Bias," American Economic Review, American Economic Association, vol. 82(3), pages 508-19, June.
  2. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  3. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  4. Lovell, Michael C, 1986. "Tests of the Rational Expectations Hypothesis," American Economic Review, American Economic Association, vol. 76(1), pages 110-24, March.
  5. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 1-9, January.
  6. Brown, Bryan W & Maital, Shlomo, 1981. "What Do Economists Know? An Empirical Study of Experts' Expectations," Econometrica, Econometric Society, vol. 49(2), pages 491-504, March.
  7. Figlewski, Stephen & Wachtel, Paul, 1981. "The Formation of Inflationary Expectations," The Review of Economics and Statistics, MIT Press, vol. 63(1), pages 1-10, February.
  8. Robert J. Shiller, 1975. "Rational Expectations and the Dynamic Structure of Macroeconomic Models:A Critical Review," NBER Working Papers 0093, National Bureau of Economic Research, Inc.
  9. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September.
  10. Jeong, Jinook & Maddala, G S, 1991. "Measurement Errors and Tests for Rationality," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 431-39, October.
  11. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 26-29, January.
  12. Blundell, Richard & Bond, Stephen & Devereux, Michael & Schiantarelli, Fabio, 1992. "Investment and Tobin's Q: Evidence from company panel data," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 233-257.
  13. de Leeuw, Frank & McKelvey, Michael J, 1984. "Price Expectations of Business Firms: Bias in the Short and Long Run," American Economic Review, American Economic Association, vol. 74(1), pages 99-110, March.
  14. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  15. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  16. John F. Muth, 1985. "Properties of Some Short-run Business Forecasts," Eastern Economic Journal, Eastern Economic Association, vol. 11(3), pages 200-210, Jul-Sep.
  17. Zarnowitz, Victor, 1985. "Rational Expectations and Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 293-311, October.
  18. Batchelor, Roy & Dua, Pami, 1991. "Blue Chip Rationality Tests," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(4), pages 692-705, November.
  19. anonymous, 1992. "Comment requested," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Feb, pages 126.
  20. Pagan, A R & Hall, A D & Trivedi, P K, 1983. "Assessing the Variability of Inflation," Review of Economic Studies, Wiley Blackwell, vol. 50(4), pages 585-96, October.
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