tailieunhanh - Handbook of Economic Forecasting part 79

Handbook of Economic Forecasting part 79. 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 | 754 . Pesaran and M. Weale 1964 also thought their value was limited and Dominitz and Manski 1997b conclude that this interchange left most economists with the feeling that qualitative expectational survey data were of limited use. Nevertheless the Michigan Survey has continued and the European Union supports the collection of similar data in its member states perhaps because Praet and Vuchelen 1984 find that they have some power to predict future movements in aggregate consumption. We save our discussion of more recent work on disaggregated data for Section below. 5. Uses of survey data in testing theories Evidence on rationality of expectations An obvious role for expectational data is in the testing of models of the way in which expectations are formed. Market mechanisms which might penalize people who form their expectations inefficiently are likely to be weak or could take a long time to work. Thus given a number of competing models of the way in which people might actually form expectations such as those discussed in Section 2 it is possible to use actual measures of expected future out-turns to try to distinguish between different expectations formation models. In many cases economic theories refer to the influence of expected future events on current behaviour. Where there is no independent measure of expectations then it is impossible to test the theory independently of the assumption made about the way in which people form their expectations. It is not possible to test this assumption independently of the model of behaviour consequent on that assumption. Independent measures of expected future values mean that it is possible to test theories contingent only on the assumption that the expectational data do in fact represent people s or firms expectations of the future. Two examples can make this clear. The life-cycle model of consumer behaviour leads to the conclusion that at any age people who have an expectation of a rapidly rising income are .