Discussion Paper Series in Economics, Department of Economics, Norwegian School of Economics (NHH)
Using Survey Data of Inflation Expectations in the Estimation of Learning and Rational Expectations Models.
() and Krisztina Molnar
Abstract: Does survey data contain useful information for estimating
macroeconomic models? We address this question by using survey data of
inflation expectations to estimate the New Keynesian model by Smets and
Wouters (2007) and compare its performance under rational expectations and
adaptive learning. The survey information serves as an additional moment
restriction and helps us to determine the learning agents' forecasting
model for in ation. Adaptive learning fares similarly to rational
expectations in fitting macro data, but clearly outperforms rational
expectations in fitting macro and survey data simultaneously. In other
words survey data contains additional information that is not present in
the macro data alone.
Keywords: Survey data; learning; rational expectations; inflation expectations; Bayesian econometrics.; (follow links to similar papers)
JEL-Codes: C61; D84; E30; E52; (follow links to similar papers)
32 pages, June 30, 2014
Before downloading any of the electronic versions below
you should read our statement on
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
Questions (including download problems) about the papers in this series should be directed to Dagny Hanne Kristiansen ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Design by Joachim Ekebom