Evolution of Forecast Disagreement in a Bayesian Learning Model

By K. Lahiri, Xuguang Simon Sheng. 2008

168 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8bdb60a30cc6f8e427bfd58f3af6abbf418b0dd2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion (2010, background): “As pointed out by Lahiri and Sheng (2008, 2010), the ''anchoring'' of long-run forecasts is a consequence of Bayesian updating.”
Accuracy, Unbiasedness and Efficiency of Professional Macroeconomic Forecasts: An empirical Comparison for the G7 (2011, unknown): “Notable exceptions are Lahiri and Sheng (2008) , who propose a model for disagreement among forecasters and estimate this based on individual forecasts on GDP growth from the Consensus Economics data set; Batchelor (2007), who uses a similar disaggregated data set to analyze the bias in forecasts f”
Measuring Forecast Uncertainty by Disagreement: The Missing Link (2008, background): “…th ¾ N 0, 1 / 2 jth 9 and one private signal, represented by sith D At C ith, ith ¾ N 0, 1 / 2 jith 10 The private signal is assumed to be independent of the public signal and also independent of other private signals, which are standard assumptions in the literature (see Lahiri and Sheng, 2008).”
The Role of Media for Inflation Forecast Disagreement of Households and Professionals (2012, unknown): “Following Kandel and Zilberfarb (1999) and Lahiri and Sheng (2008a) we model this by including the individual specific term μi,t. The μi,t is unknown to the agent and reflects that some agents form more optimistic or pessimistic forecasts given the same information L̃v,t. More generally, μi,t captur”
Explanations of the inconsistencies in survey respondents'forecasts (2010, background): “Kandel and Pearson (1995) and Kandel and Zilberfarb (1999) consider the possibility that individuals interprete the new information di¤erently, and these ideas are applied by Lahiri and Sheng (2007) .”