Download or read book Uncertainty Information and Disagreement of Economic Forecasters written by Mehdi Shoja and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: An information framework is proposed for the systematic application, unification, and generalizations of the measures used in the uncertainty and disagreement of economic forecasters literature. The framework uses the mixture model of density forecasts and applies an uncertainty function and an information divergence to individual forecast distributions generated in a random environment and to their mixture distribution. The focal measure is the Jensen-Shannon divergence of the mixture which admits Kullback-Leibler and mutual information representations. Illustrations include exploring the dynamics of the individual and aggregate uncertainty about the US inflation rate using the Survey of Professional Forecasters (SPF). Each quarter the SPF solicits forecast distributions on a set of intervals and the survey design has been changed over time. We show that the normalized entropy index corrects the distortion caused by the changes made in the number of intervals. Bayesian hierarchical models are used to examine the association of the inflation uncertainty with the anticipated inflation and the dispersion of point forecasts. Implementation of the information framework based on variance and Dirichlet model for capturing uncertainty about the probability distribution of the economic variable are briefly discussed.
Download or read book Uncertainty and Disagreement in Economic Forecasting written by Xuguang Sheng and published by . This book was released on 2008 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Uncertainty and Disagreement in Economic Forecasting written by Stefania D'Amico and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Behavior of Uncertainty and Disagreement and Their Roles in Economic Prediction written by Robert W. Rich and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines point and density forecasts from the European Central Bank's Survey of Professional Forecasters. We derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also explore the relationship between uncertainty and disagreement, as well as their roles in respondents' forecast performance and forecast revisions. We observe substantial heterogeneity in respondents' uncertainty and disagreement. In addition, there is little co-movement between uncertainty and disagreement, and forecast performance shows a more robust inverse relationship with disagreement than with uncertainty. Further, forecast revisions display a more meaningful association with disagreement than with uncertainty: Those respondents displaying higher levels of disagreement revise their point and density forecasts by a larger amount.
Download or read book Uncertainty and Disagreement in Economic Prediction written by Gianna Boero and published by . This book was released on 2006 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Disagreement Versus Uncertainty written by Fabian Krueger and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use a cross-section of economic survey forecasts to predict the distribution of US macro variables in real time. This generalizes the existing literature, which uses disagreement (i.e., the cross-sectional variance of survey forecasts) to predict uncertainty (i.e., the conditional variance of future macroeconomic quantities). Our results show that cross-sectional information can be helpful for distribution forecasting, but this information needs to be modelled in a statistically efficient way in order to avoid overfitting. A simple one-parameter model which exploits time variation in the cross-section of survey point forecasts is found to perform well in practice.
Download or read book Agreed and Disagreed Uncertainty written by Luca Gambetti and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inflation Uncertainty Disagreement and Monetary Policy written by Alexander Glas and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book NBER Macroeconomics Annual 2003 written by Mark Gertler and published by Mit Press. This book was released on 2004 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual presents pioneering work in macroeconomics by leading academic researchers to an audience of public policymakers and the academic community. Each commissioned paper is followed by comments and discussion. This year's edition provides a mix of cutting-edge research and policy analysis on such topics as productivity and information technology, the increase in wealth inequality, behavioral economics, and inflation.
Download or read book A Closer Look at the Behavior of Uncertainty and Disagreement written by Robert W. Rich and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Economic Expectations written by Ruediger Bachmann and published by Elsevier. This book was released on 2022-11-04 with total page 876 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Economic Expectations discusses the state-of-the-art in the collection, study and use of expectations data in economics, including the modelling of expectations formation and updating, as well as open questions and directions for future research. The book spans a broad range of fields, approaches and applications using data on subjective expectations that allows us to make progress on fundamental questions around the formation and updating of expectations by economic agents and their information sets. The information included will help us study heterogeneity and potential biases in expectations and analyze impacts on behavior and decision-making under uncertainty. Combines information about the creation of economic expectations and their theories, applications and likely futures Provides a comprehensive summary of economics expectations literature Explores empirical and theoretical dimensions of expectations and their relevance to a wide array of subfields in economics
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-10-24 with total page 1386 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Download or read book Advances in Info Metrics written by Min Chen and published by Oxford University Press, USA. This book was released on 2020 with total page 557 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Info-metrics is a framework for rational inference on the basis of limited, or insufficient, information. It is the science of modeling, reasoning, and drawing inferences under conditions of noisy and insufficient information. Info-metrics has its roots in information theory (Shannon, 1948), Bernoulli's and Laplace's principle of insufficient reason (Bernoulli, 1713) and its offspring the principle of maximum entropy (Jaynes, 1957). It is an interdisciplinary framework situated at the intersection of information theory, statistical inference, and decision-making under uncertainty. Within a constrained optimization setup, info-metrics provides a simple way for modeling and understanding all types of systems and problems. It is a framework for processing the available information with minimal reliance on assumptions and information that cannot be validated. Quite often a model cannot be validated with finite data. Examples include biological, social and behavioral models, as well as models of cognition and knowledge. The info-metrics framework extends naturally for tackling these types of common problems"--
Download or read book Knowledge Information and Expectations in Modern Macroeconomics written by Philippe Aghion and published by Princeton University Press. This book was released on 2003-01-26 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assembling some of the leading figures in the field of macroeconomics, this text highlights the continuing influence of the ideas of Edmund Phelps since the early 1960s. The contributions address many of the most important current areas of macroeconomic research in 2003.
Download or read book Investment under Uncertainty written by Robert K. Dixit and published by Princeton University Press. This book was released on 2012-07-14 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: How should firms decide whether and when to invest in new capital equipment, additions to their workforce, or the development of new products? Why have traditional economic models of investment failed to explain the behavior of investment spending in the United States and other countries? In this book, Avinash Dixit and Robert Pindyck provide the first detailed exposition of a new theoretical approach to the capital investment decisions of firms, stressing the irreversibility of most investment decisions, and the ongoing uncertainty of the economic environment in which these decisions are made. In so doing, they answer important questions about investment decisions and the behavior of investment spending. This new approach to investment recognizes the option value of waiting for better (but never complete) information. It exploits an analogy with the theory of options in financial markets, which permits a much richer dynamic framework than was possible with the traditional theory of investment. The authors present the new theory in a clear and systematic way, and consolidate, synthesize, and extend the various strands of research that have come out of the theory. Their book shows the importance of the theory for understanding investment behavior of firms; develops the implications of this theory for industry dynamics and for government policy concerning investment; and shows how the theory can be applied to specific industries and to a wide variety of business problems.
Download or read book Entropy Application for Forecasting written by Ana Jesus Lopez-Menendez and published by MDPI. This book was released on 2020-12-29 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows the potential of entropy and information theory in forecasting, including both theoretical developments and empirical applications. The contents cover a great diversity of topics, such as the aggregation and combination of individual forecasts, the comparison of forecasting performance, and the debate concerning the tradeoff between complexity and accuracy. Analyses of forecasting uncertainty, robustness, and inconsistency are also included, as are proposals for new forecasting approaches. The proposed methods encompass a variety of time series techniques (e.g., ARIMA, VAR, state space models) as well as econometric methods and machine learning algorithms. The empirical contents include both simulated experiments and real-world applications focusing on GDP, M4-Competition series, confidence and industrial trend surveys, and stock exchange composite indices, among others. In summary, this collection provides an engaging insight into entropy applications for forecasting, offering an interesting overview of the current situation and suggesting possibilities for further research in this field.
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
