tailieunhanh - Handbook of Economic Forecasting part 80

Handbook of Economic Forecasting part 80. 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 | 764 . Pesaran and M. Weale dards which might be expected in the public sector. We are however able to identify a number of studies which make use of disaggregate data collected in wide-ranging surveys. . Disaggregate analysis of expectations of inflation and output Horvath Nerlove and Wilson 1992 examine the rationality of expectations of price increases held by British firms using the data from the CBI survey. We have drawn attention in Section of what can and cannot be done using categorical data in a non-parametric framework. However more detailed analysis is possible if one is prepared to make use of parametric models. The idea is to explore the relationship between the latent variables explaining the categorical responses to the questions about both expected future price movements and past price changes conditional on a set of exogenous variables zt _1. For example in the context of the following parametric model xi t 1 ai fa tx t 1 yi zt-1 ei t 1 since only qualitative measurements are available on xi t 1 and txft 1 it is necessary to infer the regression relationship from what can be deduced about the polychoric correlations of the latent variables Olsson 1979 . In order to identify the model so as to test the hypothesis of rationality it is necessary to make two further assumptions first that expectations are on average correct over the period and secondly that the thresholds involved in the categorization of expectations are the same as those involved in the categorization of the out-turn cp cj for all j . Having estimated their model in this way the authors reject the restrictions required by rationality. Kukuk 1994 uses similar methods to explore the rationality of both inflation and output expectations in the IFO survey. He too rejects the hypothesis of rationality. Mitchell Smith and Weale 2005 address the question how one might produce aggregate indicators of expected output change from an analysis of the disaggregated qualitative .