What Do Private Agents Believe about the Time Series Properties of GNP?

Jeremy R. Rudin

Canadian Journal of Economics, 1992, vol. 25, issue 2, 369-91

Abstract: This paper presents and implements a procedure whereby private agents' beliefs about the time-series properties of real output can be estimated using forecasts they have made. There are two interesting features of the estimates. First, private agents' beliefs about the impulse response coefficients for U.S. real GNP are too low, by and large, to be reconciled with the results obtained when standard Box-Jenkins techniques are applied to the real GNP data. Second, there appears to be an appreciable amount of diversity in beliefs across forecasters.

Date: 1992
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