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Cross Section Vs Time Series Measures of Uncertainty: Using UK Survey Data

Author

Listed:
  • Ciaran Driver
  • Lorenzo Trapani

Abstract

This 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.

Suggested Citation

  • Ciaran Driver & Lorenzo Trapani, 2004. "Cross Section Vs Time Series Measures of Uncertainty: Using UK Survey Data," Econometric Society 2004 North American Summer Meetings 330, Econometric Society.
  • Handle: RePEc:ecm:nasm04:330
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    Citations

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    Cited by:

    1. Mario Quagliariello, 2009. "Macroeconomic uncertainty and banks' lending decisions: the case of Italy," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 323-336.
    2. Ivo Arnold & Evert Vrugt, 2008. "Fundamental uncertainty and stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 18(17), pages 1425-1440.

    More about this item

    Keywords

    Cross-section and Time series; Expectations; Uncertainty; GARCH;

    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; 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 - - - Investment; Capital; Intangible Capital; Capacity

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