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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 1025
- Klassifikation
-
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
- Thema
-
Bayesian interface
Bayesian nonparametric
Survey of Professional Forecasters
noisy rational expectations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Del Negro, Marco
Casarin, Roberto
Bassetti, Federico
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2022
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Del Negro, Marco
- Casarin, Roberto
- Bassetti, Federico
- Federal Reserve Bank of New York
Entstanden
- 2022
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