Leaning in Real Time: Theory and empircal Evidence from the Term Structure of Survey Forecasts.
|Abstract||We develop an econometric framework for understanding how agents form expectations about economic variables with a partially predictable component. Our model incorporates the effect of measurement errors and heterogeneity in individual forecasters’ prior beliefs and their information signals and also accounts for agents’ learning in real time about past, current and future values of economic variables. We use the model to develop insights into th ... [truncated at 450 characters in length]|
|Creator||Andrew J. Patton; Allan Timmermann ;|