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