Arbeitspapier
A Bayesian approach for inference on probabilistic surveys
We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there is no relationship whatsoever between subjective uncertainty and forecast accuracy for output growth density projections, both across forecasters and over time, and only a mild relationship for inflation projections. As the horizon shortens, the relationship becomes one-to-one, as the theory would predict.
- Language
-
Englisch
- Bibliographic citation
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Series: Staff Report ; No. 1025
- Classification
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Wirtschaft
Bayesian Analysis: General
Estimation: General
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Econometrics
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
International Financial Markets
- Subject
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Bayesian interface
Bayesian nonparametric
Survey of Professional Forecasters
noisy rational expectations
- Event
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Geistige Schöpfung
- (who)
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Del Negro, Marco
Casarin, Roberto
Bassetti, Federico
- Event
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Veröffentlichung
- (who)
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Federal Reserve Bank of New York
- (where)
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New York, NY
- (when)
-
2022
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Del Negro, Marco
- Casarin, Roberto
- Bassetti, Federico
- Federal Reserve Bank of New York
Time of origin
- 2022
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