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Adaptive Learning and Survey Data

  • Agnieszka Markiewicz

    ()

    (Erasmus University Rotterdam)

  • Andreas Pick

    (Erasmus University Rotterdam and De Nederlandsche Bank)

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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File URL: http://www.st-andrews.ac.uk/economics/repecfiles/2/1305.pdf
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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
Contact details of provider: Postal: School of Economics and Finance, University of St. Andrews, Fife KY16 9AL
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