Cross Section Vs Time Series Measures of Uncertainty: Using UK Survey Data

Ciaran Driver and Lorenzo Trapani ()

No 330, Econometric Society 2004 North American Summer Meetings from Econometric Society

Abstract: This paper considers measures of uncertainty used in economic estimation. Our first contribution is to address the theoretical relationship between cross-section and time series measures, highlighting the reasons why these might diverge. In a subsequent empirical section, we compare measures of uncertainty, all of which are based on underlying dataon optimism from an established UK survey database, managed by the main employers' organization, the CBI. We measure uncertainty at industry level in three ways: by cross-section dispersion of optimism expectations, by a GARCH series based on the optimism data and by an unconditional volatility measure based on the same data.

Keywords: Cross-section and Time series; Expectations; Uncertainty; GARCH (search for similar items in EconPapers)
JEL-codes: C21 C22 C42 E22 (search for similar items in EconPapers)
Date: 2004-08-11
References: Add references at CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:nasm04:330

Access Statistics for this paper

More papers in Econometric Society 2004 North American Summer Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().