Cross Section Vs Time Series Measures of Uncertainty: Using UK Survey Data
AbstractThis paper considers measures of uncertainty used in economic estimation. Our first contribution is to address the theoretical relationship between cross-section and time series measures, highlighting the reasons why these might diverge. In a subsequent empirical section, we compare measures of uncertainty, all of which are based on underlying dataon optimism from an established UK survey database, managed by the main employers' organization, the CBI. We measure uncertainty at industry level in three ways: by cross-section dispersion of optimism expectations, by a GARCH series based on the optimism data and by an unconditional volatility measure based on the same data.
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 330.
Date of creation: 11 Aug 2004
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Cross-section and Time series; Expectations; Uncertainty; GARCH;
Find related papers by JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
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- Mario Quagliariello, 2007.
"Macroeconomic uncertainty and banks' lending decisions: The case of Italy,"
Temi di discussione (Economic working papers)
615, Bank of Italy, Economic Research and International Relations Area.
- Mario Quagliariello, 2009. "Macroeconomic uncertainty and banks' lending decisions: the case of Italy," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 323-336.
- Mario Quagliariello, 2006. "Macroeconomics Uncertainty and Banks' Lending Decisions: The Case of Italy," Discussion Papers 06/02, Department of Economics, University of York.
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