Adaptive learning and survey data

Agnieszka Markiewicz () and Andreas Pick

Journal of Economic Behavior & Organization, 2014, vol. 107, issue PB, 685-707

Abstract: This paper investigates the ability of the adaptive learning approach to replicate the expectations of professional forecasters. For a range of macroeconomic and financial variables, we compare constant and decreasing gain learning models to simple, yet powerful benchmark models. We find that constant gain models provide a better fit for the expectations of professional forecasters. For macroeconomic series they usually perform significantly better than a naïve random walk forecast. In contrast, we find it difficult to beat the no-change benchmark using the adaptive learning models to forecast financial variables.

Keywords: Expectations; Survey of professional forecasters; Adaptive learning; Bounded rationality (search for similar items in EconPapers)
JEL-codes: E37 E44 G14 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jeborg:v:107:y:2014:i:pb:p:685-707

DOI: 10.1016/j.jebo.2014.04.005

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