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A framework for decomposing shocks and measuring volatilities derived from multi-dimensional panel data of survey forecasts

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  • Davies, Antony

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  • Davies, Antony, 2006. "A framework for decomposing shocks and measuring volatilities derived from multi-dimensional panel data of survey forecasts," International Journal of Forecasting, Elsevier, vol. 22(2), pages 373-393.
    • Handle: RePEc:eee:intfor:v:22:y:2006:i:2:p:373-393
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    2. Victor Zarnowitz & Phillip Braun, 1993. "Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance," NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 11-94, National Bureau of Economic Research, Inc.
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    8. Swidler, Steve & Ketcher, David, 1990. "Economic Forecasts, Rationality, and the Processing of New Information over Time," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(1), pages 65-76, February.
    9. Lloyd B. Thomas, 1999. "Survey Measures of Expected U.S. Inflation," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 125-144, Fall.
    10. Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1997. "Sticky price and limited participation models of money: A comparison," European Economic Review, Elsevier, vol. 41(6), pages 1201-1249, June.
    11. Bonham, Carl & Cohen, Richard, 1995. "Testing the Rationality of Price Forecasts: Comment," American Economic Review, American Economic Association, vol. 85(1), pages 284-289, March.
    12. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
    13. Hsiao,Cheng & Pesaran,M. Hashem & Lahiri,Kajal & Lee,Lung Fei (ed.), 1999. "Analysis of Panels and Limited Dependent Variable Models," Cambridge Books, Cambridge University Press, number 9780521631693, June.
    14. Stark, Tom & Croushore, Dean, 2002. "Forecasting with a real-time data set for macroeconomists," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 507-531, December.
    15. Davies, Anthony & Lahiri, Kajal, 1995. "A new framework for analyzing survey forecasts using three-dimensional panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 205-227, July.
    16. James H. Stock & Mark W. Watson, 1993. "Business Cycles, Indicators, and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number stoc93-1, March.
    17. Dean Croushore, 1993. "Introducing: the survey of professional forecasters," Business Review, Federal Reserve Bank of Philadelphia, issue Nov, pages 3-15.
    18. Stock, James H. & Watson, Mark W. (ed.), 1993. "Business Cycles, Indicators, and Forecasting," National Bureau of Economic Research Books, University of Chicago Press, edition 1, number 9780226774886, October.
    19. De Bondt, Werner F. M. & Bange, Mary M., 1992. "Inflation Forecast Errors and Time Variation in Term Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(4), pages 479-496, December.
    20. Patterson, K. D., 2000. "Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors," Economics Letters, Elsevier, vol. 69(2), pages 115-121, November.
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    Cited by:

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    2. Wu, Bao & Liu, Zijia & Gu, Qiuyang & Tsai, Fu-Sheng, 2023. "Underdog mentality, identity discrimination and access to peer-to-peer lending market: Exploring effects of digital authentication," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    3. Bedri Kamil Onur Taş, 2016. "Does the Federal Reserve have Private Information about its Future Actions?," Economica, London School of Economics and Political Science, vol. 83(331), pages 498-517, July.
    4. Silvija Vlah Jerić & Mihovil Anđelinović, 2019. "Evaluating Croatian stock index forecasts," Empirical Economics, Springer, vol. 56(4), pages 1325-1339, April.
    5. Ager, P. & Kappler, M. & Osterloh, S., 2009. "The accuracy and efficiency of the Consensus Forecasts: A further application and extension of the pooled approach," International Journal of Forecasting, Elsevier, vol. 25(1), pages 167-181.
    6. Croushore Dean, 2010. "An Evaluation of Inflation Forecasts from Surveys Using Real-Time Data," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-32, May.
    7. Klein, Tony, 2021. "Agree to Disagree? Predictions of U.S. Nonfarm Payroll Changes between 2008 and 2020 and the Impact of the COVID19 Labor Shock," QBS Working Paper Series 2021/07, Queen's University Belfast, Queen's Business School.
    8. Wagner Piazza Gaglianone & João Victor Issler, 2014. "Microfounded Forecasting," Working Papers Series 372, Central Bank of Brazil, Research Department.
    9. Gibbs, Christopher G. & Vasnev, Andrey L., 2024. "Conditionally optimal weights and forward-looking approaches to combining forecasts," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1734-1751.
    10. Rosen Valchev & Antony Davies, 2009. "Transparency, Performance, and Agency Budgets: A Rational Expectations Modeling Approach," Working Papers 2009-004, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    11. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F., 2008. "Evaluating a three-dimensional panel of point forecasts: The Bank of England Survey of External Forecasters," International Journal of Forecasting, Elsevier, vol. 24(3), pages 354-367.
    12. Klein, Tony, 2022. "Agree to disagree? Predictions of U.S. nonfarm payroll changes between 2008 and 2020 and the impact of the COVID19 labor shock," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 264-286.
    13. Antony Davies, 2008. "An Exploration of Regression-Based Data Mining Techniques Using Super Computation," Working Papers 2008-008, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.

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