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Survey Expectations

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Author Info
Pesaran, M.H.
Weale, M.

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Abstract

This paper focuses on survey expectations and discusses their uses for testing and modeling of expectations. Alternative models of expectations formation are reviewed and the importance of allowing for heterogeneity of expectations is emphasized. A weak form of the rational expectations hypothesis which focuses on average expectations rather than individual expectations is advanced. Other models of expectations formation, such as the adaptive expectations hypothesis, are briefly discussed. Testable implications of rational and extrapolative models of expectations are reviewed and the importance of the loss function for the interpretation of the test results is discussed. The paper then provides an account of the various surveys of expectations, reviews alternative methods of quantifying the qualitative surveys, and discusses the use of aggregate and individual survey responses in the analysis of expectations and for forecasting.

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File URL: http://www.econ.cam.ac.uk/dae/repec/cam/pdf/cwpe0536.pdf
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Publisher Info
Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 0536.

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Length: 73
Date of creation: Aug 2005
Date of revision:
Handle: RePEc:cam:camdae:0536

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Web page: http://www.econ.cam.ac.uk/index.htm

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Related research
Keywords: models of expectation formation survey data heterogeneity tests of rational expectations

Other versions of this item:

Find related papers by JEL classification:
C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General

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Cited by:
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  1. Emiliano Santoro & Damjan Pfajfar, 2006. "Heterogeneity and learning in inflation expectation formation: an empirical assessment," Department of Economics Working Papers 0607, Department of Economics, University of Trento, Italia. [Downloadable!]
  2. Damjan Pfajfar & Emiliano Santoro, 2007. "Heterogeneity, Asymmetries and Learning in InfIation Expectation Formation: An Empirical Assessment," Money Macro and Finance (MMF) Research Group Conference 2006 123, Money Macro and Finance Research Group. [Downloadable!]
  3. M. Hashem Pesaran, 2005. "Market Efficiency Today," IEPR Working Papers 05.41, Institute of Economic Policy Research (IEPR). [Downloadable!]
  4. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics. [Downloadable!]
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This page was last updated on 2008-6-30.

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