Forecast disagreement about long-run macroeconomic relationships *

被引：3
|
作者：
Kuang, Pei [1 ]
Tang, Li [2 ,3 ]
Zhang, Renbin [4 ]
Zhang, Tongbin [5 ,6 ]
机构：
[1] Univ Birmingham, Birmingham Business Sch, Univ House,Edgbaston Pk Rd, Birmingham B15 2TT, England
[2] Middlesex Univ London, London NW4 4BT, England
[3] Univ Essex, London NW4 4BT, England
[4] Shandong Univ, Jinan, Peoples R China
[5] Shanghai Univ Finance & Econ, Inst Adv Res, Minist Educ, Guoding Rd 777, Shanghai, Peoples R China
[6] Shanghai Univ Finance & Econ, Key Lab Math Econ SUFE, Minist Educ, Guoding Rd 777, Shanghai, Peoples R China
来源：
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION | 2022年 / 200卷
基金：
中国国家自然科学基金;
关键词：
Survey expectation; Cointegration; Disagreement; BUSINESS CYCLES; HETEROGENEOUS EXPECTATIONS; MONETARY-POLICY; CRITICAL-VALUES; UNIT-ROOT; LAG ORDER; GROWTH; COINTEGRATION; EXPERIENCES; SELECTION;
D O I：
10.1016/j.jebo.2022.06.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using survey forecast data, this paper studies whether professional forecasters utilize long run cointegration relationships among macroeconomic variables to forecast the future, as postulated in stochastic growth models. Significant heterogeneity exists among forecasters. The majority of the forecasters do not use these long-run relationships. The results are robust across different groups, to addressing the multiple testing problem and to allowing for structural break. (c) 2022 Elsevier B.V. All rights reserved.
引用
收藏
页码：371 / 387
页数：17
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