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Adaptive Learning and Survey Data

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  • Agnieszka Markiewicz

    ()
    (Erasmus University Rotterdam)

  • Andreas Pick

    (Erasmus University Rotterdam and De Nederlandsche Bank)

Abstract

This paper investigates the ability of the adaptive learning approach to replicate the expectations of professional forecasters. For a range of macroeconomic and financial variables, we compare constant and decreasing gain learning models to simple, yet powerful benchmark models. We find that both, constant and decreasing gain models, provide a good fit for the expectations of professional forecasters for a range of variables. These results suggest that, instead of relying only on the the most recent observation, agents use more complex models to form their expectations even for financial variables where random walk forecasts are often difficult to beat.

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Bibliographic Info

Paper provided by Centre for Dynamic Macroeconomic Analysis in its series CDMA Working Paper Series with number 201305.

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Date of creation: 28 Feb 2013
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Handle: RePEc:san:cdmawp:1305

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Keywords: expectations; survey of professional forecasters; adaptive learning; bounded rationality;

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  1. Adaptive Learning and Survey Data
    by Alessandro Cerboni in Knowledge Team on 2013-09-16 18:03:19
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Cited by:
  1. Berardi, Michele & Galimberti, Jaqueson K., 2014. "A note on the representative adaptive learning algorithm," Economics Letters, Elsevier, vol. 124(1), pages 104-107.

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