Chapter 14 Survey Expectations

Handbook of Economic Forecasting

Volumn 1, Issue , 2006, Pages 715-776

  Pesaran, M Hashem ^a   Weale, Martin ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b National Institute of Economic and Social Research

Author keywords

heterogeneity; models of expectations formation; survey data; tests of rational expectations

Indexed keywords

EID: 67649344274     PISSN: 15740706     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S1574-0706(05)01014-1     Document Type: Review

References (162)

1. Abou A., and Prat G. Formation des anticipations boursières. Journées de Microéconomie Appliqué 12 (1995) 1-33
2. Adams F. Consumer attitudes, buying plans and purchases of durable goods: A principal components, time series approach. Review of Economics and Statistics 46 (1964) 346-355
3. Allen H., and Taylor M. Charts, noise in fundamentals in the London foreign exchange market. The Economic Journal 100 (1990) 49-59
4. Anderson O. The business test of the IFO - Institute for Economic Research, Munich, and its theoretical model. Review of the International Statistical Institute 20 (1952) 1-17
5. Batchelor R. Aggregate expectation under the stable laws. Journal of Econometrics 16 (1981) 199-210
6. Batchelor R. Expectations, output and inflation. European Economic Review 17 (1982) 1-25
7. Batchelor R., and Jonung L. Cross-sectional evidence on the rationality of the means and variance of inflation expectations. In: Grunert K., and Ölander F. (Eds). Understanding Economic Behaviour (1989), Reidel, Dordrecht 93-105
8. Batchelor R., and Orr A. Inflation expectations revisited. Economica 55 (1988) 317-331
9. Batchelor R., and Peel D. Rationality testing under asymmetric loss. Economics Letters 61 (1998) 49-54
10. Batchelor R., and Zarkesh F. Variance rationality: A direct test. In: Gardes F., and Prat G. (Eds). Expectations in Goods and Financial Markets (2000), Edward Elgar, London
11. Bergström R. The relationship between manufacturing production and different business surveys in Sweden, 1968-1992. International Journal of Forecasting 11 (1995) 379-393
12. Binder M., and Pesaran M. Decision making in the presence of heterogeneous information and social interactions. International Economic Review 39 (1998) 1027-1053
13. Bomberger W. Disagreement as a measure of uncertainty. Journal of Money, Credit and Banking 31 (1996) 381-392
14. Bomberger W. Disagreement and uncertainty. Journal of Money, Credit and Banking 31 (1999) 273-276
15. Bonham C., and Cohen R. To aggregate, pool, or neither: Testing the rational expectations hypothesis using survey data. Journal of Business and Economic Statistics 19 (2001) 278-291
16. Bonham C., and Dacy D. In search of a strictly rational forecast. Review of Economics and Statistics 73 (1991) 245-253
17. Bouton F., and Erkel-Rousse H. Conjontures sectorielles et prévision à court terme de l'activité: L'apport de l'enquête de conjonture dans les services. Économie et Statistique 359-360 (2002) 35-68
18. Branch W. Local convergence properties of a Cobweb model with rationally heterogeneous expectations. Journal of Economic Dynamics and Control 27 1 (2002) 63-85
19. Branch W. The theory of rationally heterogeneous expectations: Evidence from survey data on inflation expectations. Economic Journal 114 (2004) 592-621
20. Brock W., and Hommes C.H. A rational route to randomness. Econometrica 65 (1997) 1059-1160
21. Brown B., and Maital S. What do economists know? An empirical study of experts expectations. Econometrica 49 (1981) 491-504
22. Bryan, M., Palmqvist, S. (2004). "Testing near-rationality using survey data". Sveriges Riksbank Working Paper No. 183
23. Caballero R.J. On the sign of the investment-uncertainty relationship. American Economic Review 81 1 (1991) 279-288
24. Cagan P. The monetary dynamics of hyper-inflation. In: Friedman M. (Ed). Studies in the Quantity Theory of Money (1956), University of Chicago Press, Chicago 25-117
25. Carlson J., and Parkin M. Inflation expectations. Economica 42 (1975) 123-138
26. Carroll C. Macro-economic expectations of households and professional forecasters. Quarterly Journal of Economics CXVIII (2003) 269-298
27. Caskey J. Modelling the formation of price expectations: A Bayesian approach. American Economic Review 75 (1985) 768-776
28. Christoffersen P., and Diebold F. Optimal prediction under asymmetric loss. Econometric Theory 13 (1997) 808-817
29. Croushore, D. (1993). "Introducing the Survey of Professional Forecasters". Federal Reserve Bank of Philadelphia Business Review, November/December, 3-13
30. Croushore D. The Livingston Survey: Still useful after all these years. Federal Reserve Bank of Philadelphia Business Review March/April (1997) 15-26
31. Cunningham A., Smith R., and Weale M. Measurement errors and data estimation: The quantification of survey data. In: Begg I.G., and Henry S.G.B. (Eds). Applied Economics and Public Policy (1998), Cambridge University Press, Cambridge 41-58
32. Das M., and Donkers B. How certain are Dutch households about future income? An empirical analysis. Review of Income and Wealth 45 (1999) 325-338
33. Dasgupta S., and Lahiri K. A comparative study of alternative methods of quantifying qualitative survey responses using NAPM data. Journal of Business and Economic Statistics 10 (1992) 391-400
34. Dasgupta S., and Lahiri K. On the use of dispersion measures from NAPM surveys in business cycle forecasting. Journal of Forecasting 12 (1993) 239-253
35. Davies A., and Lahiri K. A new framework for analyzing three-dimensional panel data. Journal of Econometrics 68 (1995) 205-227
36. Davies A., and Lahiri K. Re-examining the rational expectations hypothesis using panel data on multi-period forecasts. Analysis of Panels and Limited Dependent Variable Models (1999), Cambridge University Press, Cambridge 226-354
37. Demetriades P. The relationship between the level and variability of inflation: Theory and evidence. Journal of Applied Econometrics 4 (1989) 239-250
38. Deutsch M., Granger C., and Terasvirta T. The combination of forecasts using changing weights. International Journal of Forecasting 10 (1994) 47-57
39. Dominguez K. Are foreign exchange forecasts rational: New evidence from survey data. Economics Letters 21 (1986) 277-281
40. Dominitz J. Earnings expectations, revisions and realizations. Review of Economics and Statistics LXXX (1998) 374-388
41. Dominitz J. Estimation of income expectations models using expectations and realization data. Journal of Econometrics 102 (2001) 165-195
42. Dominitz J., and Manski C. Perceptions of economic insecurity: Evidence from the survey of economic expectations. Public Opinion Quarterly 61 (1997) 261-287
43. Dominitz J., and Manski C. Using expectations data to study subjective income expectations. Journal of the American Statistical Association 92 (1997) 855-867
44. Dominitz, J., Manski, C. (2003). "How should we measure consumer confidence (sentiment)?" National Bureau of Economic Research Working Paper 9926
45. Dominitz J., and Manski C. How should we measure consumer confidence?. Journal of Economic Perspectives 18 (2004) 51-66
46. Dominitz, J., Manski, C. (2005). "Measuring and interpreting expectations of equity returns". Mimeo
47. Driver C., and Urga G. Transforming qualitative survey data: Performance comparisons for the UK. Oxford Bulletin of Economics and Statistics 66 (2004) 71-90
48. Elliott G., Komunjer I., and Timmermann A. Estimation and testing of forecast rationality under flexible loss. Review of Economic Studies (2005)
49. Elliott G., and Ito T. Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange market. Journal of Monetary Economics 43 (1999) 435-456
50. Elliott, G., Komunjer, I., Timmermann, A. (2003). "Biases in macroeconomic forecasts: Irrationality or asymmetric loss". Mimeo, UCSD
51. Elliott G., and Timmermann A. Optimal forecast combination under regime switching. International Economic Review 46 (2005) 1081-1102
52. Engelberg, J., Manski, C., Williams J. (2006). "Comparing the point predictions and subjective probability distributions of professional forecasters". Unpublished manuscript, www.faculty.econ.northweston.edu/faculty/manski/profesional_forecasters.pdf
53. Entorf H. Constructing leading indicators from non-balanced sectoral business survey series. International Journal of Forecasting 9 (1993) 211-225
54. Evans G., and Honkapohja S. Learning and Expectations in Macroeconomics (2001), Princeton University Press, Princeton
55. Evans G., and Ramey G. Expectation calculation and macroeconomic dynamics. American Economic Review 82 (1992) 207-224
56. Fair R., and Shiller R. Comparing information in forecasts from econometric models. American Economic Review 80 (1990) 375-389
57. Federal Reserve Consultant Committee on Consumer Survey Statistics. (1955). "Smithies Committee report". Hearings of the Sub-Committee on Economic Statistics of the Joint Committee on the Economic Report, 84th US Congress
58. Figlewski S., and Wachtel P. The formation of inflationary expectations. Review of Economics and Statistics 63 (1981) 529-531
59. Figlewski S., and Wachtel P. Rational expectations, informational efficiency and tests using survey data. Review of Economics and Statistics 65 (1983) 529-531
60. Fishe R., and Lahiri K. On the estimation of inflationary expectations from qualitative responses. Journal of Econometrics 16 (1981) 89-102
61. Frankel J., and Froot K. Short-term and long-term expectations of the yen/dollar exchange rate: Evidence from survey data. Journal of the Japanese and International Economies 1 (1987) 249-274
62. Frankel J., and Froot K. Using survey data to test standard propositions regarding exchange rate expectations. American Economic Review 77 (1987) 133-153
63. Frankel J., and Froot K. Chartists, fundamentalists and the demand for dollars. In: Courakis A.S., and Taylor M.P. (Eds). Private Behaviour and Government Policy in Interdependent Economies (1990), Oxford University Press, Oxford 73-126
64. Frankel J., and Froot K. The rationality of the foreign exchange rate. Chartists, fundamentalists and trading in the foreign exchange market. American Economic Review Papers and Proceedings 80 (1990) 181-185
65. Frenkel J. Inflation and the formation of expectations. Journal of Monetary Economics 1 (1975) 403-421
66. Friedman B. Survey evidence on the 'rationality' of interest rate expectations. Journal of Monetary Economics 6 (1980) 453-465
67. Froot K., and Frankel J. Interpreting tests of forward discount bias using survey data on exchange rate expectations. Quarterly Journal of Economics CIV (1989) 133-153
68. Froot K., and Ito T. On the consistency of short-run and long-run exchange rate expectations. Journal of International Money and Finance 8 (1990) 487-510
69. Gadzinski, G., Orlandi, F. (2004). "Inflation persistence in the European Union, the Euro area and the United States". European Central Bank Working Paper No 414, www.ecb.int/pub/pdf/scpwps/ecbwp414.pdf
70. Giordani P., and Söderlind P. Inflation forecast uncertainty. European Economic Review 47 (2003) 1037-1061
71. Goodman L., and Kruskal W. Measures of Association for Cross-Classifications (1979), Springer-Verlag, New York
72. Gourieroux C., and Pradel J. Direct tests of the rational expectation hypothesis. European Economic Review 30 (1986) 265-284
73. Granger C., and Pesaran M. A decision theoretic approach to forecast evaluation. In: Chan W.S., Li W.K., and Tong H. (Eds). Statistics and Finance: An Interface (2000), Imperial College Press, London 261-278
74. Granger C., and Ramanathan R. Improved methods of combining forecasts. Journal of Forecasting 3 (1984) 197-204
75. Gregoir S., and Lenglart F. Measuring the probability of a business cycle turning point by using a multivariate qualitative hidden Markov model. Journal of Forecasting 19 2 (2000) 81-102
76. Grossman S., and Stiglitz J. On the impossibility of informationally efficient markets. American Economic Review 70 (1980) 393-408
77. Guiso L., Japelli T., and Pistaferri L. An empirical analysis of earnings and unemployment risk. Journal of Business and Economic Statistics 20 (2002) 241-253
78. Guiso L., Japelli T., and Terlizzese D. Earnings uncertainty and precautionary saving. Journal of Monetary Economics 30 (1992) 307-337
79. Hartley M. Comment on "Estimating mixtures of normal distributions and switching regressions" by Quandt and Ramsey. Journal of the American Statistical Association 73 364 (1978) 738-741
80. Hellwig M. On the aggregation of information in competitive markets. Journal of Economic Theory 22 (1980) 477-498
81. Hild F. Une lecture enrichie des réponses aux enquêtes de conjoncture. Économie et Statistique 359-360 (2002) 13-33
82. Hommes, C. (2006). "Heterogeneous agent models in economics and finance". In: Judd, K.L., Tesfatsion, L. (Eds.), Agent-Based Computational Economics. In: Handbook of Computational Economics, vol. 2. Elsevier Science, Amsterdam. In press
83. Horvath B., Nerlove M., and Wilson D. A reinterpretation of direct tests of forecast rationality using business survey data. In: Oppenländer K., and Poser G. (Eds). Business Cycle Analysis by Means of Economic Surveys, Part I (1992), Avebury, Aldershot 131-152
84. Hüfner F., and Schröder M. Prognosengehalt von ifo-Geschäftserwartungen und ZEW-Konjunkturerwartungen: ein ökonometrischer Vergleich. Jahrbücher für Nationalökonomie und Statistik 222/3 (2002) 316-336
85. Hurd M., and McGarry K. Evaluation of the subjective probabilities of survival. Economic Journal 112 (2002) 66-985
86. Isiklar, G., Lahiri, K., Loungani, P. (2005). "How quickly do forecasters incorporate news?" Department of Economics, Albany, USA
87. Ito T. Foreign exchange expectations: Micro-survey data. American Economic Review 80 (1990) 434-449
88. Ivaldi M. Survey evidence on the rationality of expectations. Journal of Applied Econometrics 7 (1992) 225-241
89. Jeong J., and Maddala G. Measurement errors and tests for rationality. Journal of Business and Economic Statistics 9 (1991) 431-439
90. Jeong J., and Maddala G. Testing the rationality of survey data using the weighted double-bootstrapped method of moments. Review of Economics and Statistics 78 (1996) 296-302
91. Juster T. Anticipations and Purchases (1964), Princeton University Press, Princeton, USA
92. Juster T., and Suzman R. An overview of the health and retirement study. Journal of Human Resources 30 (1995) S7-S56
93. Kanoh S., and Li Z. A method of exploring the mechanism of inflation expectations based on qualitative survey data. Journal of Business and Economic Statistics 8 (1990) 395-403
94. Katona G. Federal reserve board committee reports on consumer expectations and savings statistics. Review of Economics and Statistics 39 (1957) 40-46
95. Katona G. Psychological Economics (1975), Elsevier, New York
96. Kauppi E., Lassila J., and Teräsvirta T. Short-term forecasting of industrial production with business survey data: Experience from Finland's Great Depression, 1990-1993. International Journal of Forecasting 12 (1996) 73-81
97. Keane M., and Runkle D. Testing the rationality of price forecasts: New evidence from panel data. American Economic Review 80 (1990) 714-735
98. Keynes J. The General Theory of Employment, Interest and Money (1936), Macmillan, London
99. Klein P., and Moore G. Purchasing management survey data: Their value as leading indicators. In: Lahiri K., and Moore G.H. (Eds). Leading Economic Indicators: New Approaches and Forecasting Records (1991), Cambridge University Press, Cambridge 403-428
100. Knight F. Risk, Uncertainty and Profit (1921), Houghton, Mifflin & Co, New York
101. Koyck L. Distributed Lags and Investment Analysis (1954), North-Holland, Amsterdam
102. Kukuk M. Haben Unternehmer Rationale Erwartungen? Eine Empirische Untersuchung. Ifo-Studien 40 (1994) 111-125
103. Kurz M. On the structure and diversity of rational beliefs. Economic Theory 4 (1994) 877-900
104. Kurz, M. (2001). "Heterogenous forecasting and Federal Reserve information". Working Paper 02-002, Department of Economics, Stanford University
105. Lahiri, K., Liu, F. (2005). "Modelling multi-period inflation uncertainty using a panel of density forecasts". Journal of Applied Econometrics. In press
106. Lahiri K., Teigland C., and Zaporowski M. Interest rates and subjective probability distribution of inflation forecasts. Journal of Money, Credit and Banking 20 (1988) 233-248
107. Lee K. Formation of price and cost inflation expectations in British manufacturing: A multisectoral analysis. Economic Journal 104 (1994) 372-386
108. Löffler G. Refining the Carlson-Parkin method. Economics Letters 64 (1999) 167-171
109. Lucas R. Some international evidence on output-inflation trade-offs. American Economic Review 63 (1973) 326-344
110. MacDonald R. Expectations formation and risk in three financial markets: Surveying what the surveys say. Journal of Economic Surveys 14 (2000) 69-100
111. Maddala G., Fishe R., and Lahiri K. A time-series analysis of popular expectations data on inflation and interest rates. Applied Time-series Analysis of Economic Data (1983), US Census Bureau, Washington 278-290
112. Madsen J. The predictive value of production expectations in manufacturing industry. Journal of Forecasting 12 (1993) 273-289
113. Mankiw, N., Reis, R., Wolfers, J. (2004). "Disagreement about inflation expectations". NBER Working Paper No 9796
114. Manski C. Measuring expectations. Econometrica 72 (2004) 1329-1376
115. Meiselman D. The Term Structure of Interest Rates (1962), Prentice-Hall, Englewood Cliffs, NJ
116. Milgrom P. Rational expectations, information acquisition, and competitive bidding. Econometrica 49 (1981) 921-943
117. Mincer J., and Zarnowitz V. The evaluation of economic forecasts. In: Mincer J. (Ed). Economic Forecasts and Expectations (1969), National Bureau of Economic Research, New York
118. Mitchell, J., Mouratidis, K., Weale, M. (2005). "Uncertainty in UK manufacturing: Evidence from qualitative survey data". NIESR Discussion Paper No. 266, www.niesr.ac.uk/pubs/dp266.pdf
119. Mitchell J., Smith R., and Weale M. Quantification of qualitative firm-level survey data. Economic Journal 112 (2002) C117-C135
120. Mitchell J., Smith R., and Weale M. Forecasting manufacturing output growth using firm-level survey data. Manchester School 73 (2005) 479-499
121. Muth J. Optimal properties of exponentially-weighted forecasts. Journal of the American Statistical Association 55 (1960) 229-306
122. Muth J. Rational expectations and the theory of price movements. Econometrica 29 (1961) 315-335
123. Nardo M. The quantification of qualitative survey data: A critical assessment. Journal of Economic Surveys 17 (2003) 645-668
124. Nerlove M. Adaptive expectations and cobweb phenomena. Quarterly Journal of Economics 72 (1958) 227-240
125. Nerlove M. Expectations plans and realizations in theory and practice. Econometrica 51 (1983) 1251-1279
126. Öller L. Forecasting the business cycle using survey data. International Journal of Forecasting 6 (1990) 453-461
127. Olsson U. Maximum-likelihood estimation of the polychoric correlation coefficient. Psychometrika 44 (1979) 443-460
128. Parigi G., and Schlitzer G. Quarterly forecasts of the Italian business cycle by means of monthly economic indicators. Journal of Forecasting 14 (1995) 117-141
129. Patton, A., Timmermann, A. (2004). "Testable implications of forecast optimality". London School of Economics Mimeo
130. Pesando J. A note on the rationality of the Livingston price expectations. Journal of Political Economy 83 (1975) 849-858
131. Pesaran M. Expectations formation and macroeconomic modelling. In: Magrange P., and Muet P. (Eds). Contemporary Macroeconomic Modelling (1984), Blackwell, Oxford 27-53
132. Pesaran M. Formation of inflation expectations in British manufacturing industries. Economic Journal 95 (1985) 948-975
133. Pesaran M. The Limits to Rational Expectations (1987), Basil Blackwell, Oxford
134. Pesaran M. Consistency of short-term and long-term expectations. Journal of International Money and Finance 8 (1989) 511-520
135. Pesaran, M. (2004). "Estimation and inference in large heterogeneous panels with multifactor error structure". CESifo Working Paper Series No 1331
136. Pesaran M., and Smith R. Estimating long-run relationships from dynamic heterogeneous panels. Journal of Econometrics 68 (1995) 79-113
137. Pesaran M., and Timmermann A. Predictability of stock returns: Robustness and economic significance. Journal of Finance 50 (1995) 1201-1228
138. Pesaran M., and Timmermann A. Real time econometrics. Econometric Theory 21 (2005) 212-231
139. Pigou A. Industrial Fluctuations (1927), Macmillan, London
140. Praet P. Endogenizing consumers' expectations in four major EC countries. Journal of Economic Psychology 6 (1985) 255-269
141. Praet P., and Vuchelen J. The contribution of EC consumer surveys in forecasting consumer expenditures; an econometric analysis for four major countries. Journal of Economic Psychology 5 (1984) 101-124
142. Radner R. Rational expectations equilibrium: Generic existence and the information revealed by prices. Econometrica 47 (1979) 655-678
143. Rahiala M., and Teräsvirta T. Business survey data in forecasting the output of the Swedish and Finnish metal and engineering industries: A Kalman filter approach. Journal of Forecasting 12 (1993) 255-271
144. Rich R., and Butler J. Disagreement as a measure of uncertainty. A comment on Bomberger. Journal of Money, Credit and Banking 30 (1998) 411-419
145. Rich R., Raymond J., and Butler J. Testing for measurement errors in expectations from survey data. An instrumental variable approach. Economics Letters 43 (1993) 5-10
146. Scholer K., Schlemper M., and Ehlgen J. Konjunkturindikatoren auf der Grundlage von Survey Daten - Teil I. Jahrbücher für Nationalökonomie und Statistik 212 (1993) 248-256
147. Scholer K., Schlemper M., and Ehlgen J. Konjunkturindikatoren auf der Grundlage von Survey Daten - Teil II. Jahrbücher für Nationalökonomie und Statistik 212 (1993) 419-441
148. Smith J., and McAleer M. Alternative procedures for converting qualitative response data to quantitative expectations: An application to Australian manufacturing. Journal of Applied Econometrics 10 (1995) 165-185
149. Souleles N.S. Expectations, heterogeneous forecast errors and consumption: Micro evidence from the Michigan consumer sentiment surveys. Journal of Money, Credit and Banking 36 (2004) 39-72
150. Stone J., Champernowne D., and Meade J. The precision of national income estimates. Review of Economic Studies 9 (1942) 111-125
151. Takagi S. Exchange rate expectations - A survey of survey studies. IMF Staff Papers 38 (1991) 156-183
152. Theil H. On the time shape of economic microvariables and the Munich business test. Revue de l'Institute International de Statistique 20 (1952)
153. Thomas L. Survey measures of expected US inflation. Journal of Economic Perspectives 13 (1999) 125-144
154. Tobin J. On the predictive value of consumer intentions and attitudes. Review of Economics and Statistics 41 (1959) 1-11
155. Townsend R. Market anticipations, rational expectations, and Bayesian analysis. International Economic Review 19 (1978) 481-494
156. Townsend R. Forecasting the forecasts of others. Journal of Political Economy 91 (1983) 546-588
157. Varian H. A Bayesian approach to real estate assessment. In: Fienberg S., and Zellner A. (Eds). Studies in Bayesian Econometrics and Statistics in Honour of Leonard J. Savage (1975), North-Holland, Amsterdam 195-208
158. Wren-Lewis S. The quantification of survey data on expectations. National Institute Economic Review 113 (1985) 39-49
159. Zarnowitz V., and Lambros L.A. Consensus and uncertainty in economic prediction. Journal of Political Economy 95 (1987) 591-621
160. Zellner A. An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias. Journal of the American Statistical Association 57 (1962) 348-368
161. Zellner A. Biased predictors, rationality and the evaluation of forecasts. Economics Letters 21 (1986) 45-48
162. Zellner A., Hong C., and Min C.-K. Forecasting turning points in international output growth rates using Bayesian exponentially weighted autoregression time-varying parameter and pooling techniques. Journal of Econometrics 49 (1991) 275-304