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Handbook of Economic Forecasting part 75

Handbook of Economic Forecasting part 75. Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing | This page intentionally left blank Chapter 14 SURVEY EXPECTATIONS M. HASHEM PESARAN University of Cambridge and USC MARTIN WEALE National Institute of Economic and Social Research Contents Abstract 716 Keywords 716 1. Introduction 717 2. Concepts andmodelsofexpectationsformation 720 2.1. The rational expectations hypothesis 721 2.2. Extrapolative models of expectations formation 724 2.2.1. Static models of expectations 725 2.2.2. Return to normality models 725 2.2.3. Adaptive expectations model 726 2.2.4. Error-learning models 727 2.3. Testable implications of expectations formation models 727 2.3.1. Testing the REH 728 2.3.2. Testing extrapolative models 729 2.4. Testing the optimality of survey forecasts under asymmetric losses 730 3. Measurement of expectations History and developments 733 3.1. Quantification and analysis of qualitative survey data 739 3.1.1. The probability approach 739 3.1.2. The regression approach 742 3.1.3. Other conversion techniques - further developments and extensions 743 3.2. Measurement of expectations uncertainty 744 3.3. Analysis of individual responses 745 4. Uses of survey data in forecasting 748 4.1. Forecast combination 748 4.2. Indicating uncertainty 749 4.3. Aggregated data from qualitative surveys 751 4.3.1. Forecasting Output growth 751 Handbook of Economic Forecasting Volume 1 Edited by Graham Elliott Clive WJ. Granger and Allan Timmermann 2006 Elsevier B.V All rights reserved DOI 10.1016 S1574-0706 05 01014-1 716 M.H. Pesaran and M. Weale 4.3.2. Forecasting Inflation 752 4.3.3. Forecasting Consumer sentiment and consumer spending 753 5. Uses of survey data in testing theories Evidence on rationality of expectations 754 5.1. Analysis of quantified surveys econometric issues and findings 755 5.1.1. Simple tests of expectations formation Rationality in the financial markets 755 5.1.2. Testing rationality with aggregates and in panels 756 5.1.3. Three-dimensional panels 758 5.1.4. Asymmetries or bias 758 5.1.5. Heterogeneity .