Adaptive learning and survey expectations

Research output: Contribution to journalArticleAcademicpeer-review

15 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)685-707
Number of pages23
JournalJournal of Economic Behavior and Organization
Volume107
Issue numberPart B
DOIs
Publication statusPublished - 26 Apr 2014

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