Title of article :
Why doforecastersdisagree?Lessonsfromthetermstructureof
cross-sectionaldispersion
Author/Authors :
Andrew J. Patton، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
Abstract :
Key sourcesofdisagreementamongeconomicforecastersareidentifiedbyusingdata
on cross-sectionaldispersioninforecasters’long-andshort-runpredictionsof
macroeconomicvariables.Dispersionamongforecastersishighestatlonghorizons
whereprivateinformationisoflimitedvalueandloweratshortforecasthorizons.
Moreover,differencesinviewspersistthroughtime.Suchdifferencesinopinioncannot
be explainedbydifferencesininformationsets;ourresultsindicatetheystemfrom
heterogeneityinpriorsormodels.Differencesinopinionmovecountercyclically,with
heterogeneitybeingstrongestduringrecessionswhereforecastersappeartoplace
greaterweightontheirpriorbeliefs
Journal title :
Journal of Monetary Economics
Journal title :
Journal of Monetary Economics
