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Econometric Estimation Of Foresight: Tax Policy And Investment In The United States

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Douglas G. Steigerwald
Charles Stuart

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Abstract

We develop a method for measuring the foresight agents have. We first dichotomize an agent's information at current date t into knowledge up to date t + f and expectations after t + f. We then form a residual-based test statistic that allows us to compare prediction errors for econometric models based on different values of f. We illustrate the method, examining investment around tax reforms to measure the foresight firms have about tax policy. In this illustration, current investment appears to reflect currently available information but little foresight other than foresight of enacted policy changes. © 2001 by the President and Fellows of Harvard College and the Massachusetts Institute of Technolog

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Publisher Info
Article provided by MIT Press in its journal The Review of Economics and Statistics.

Volume (Year): 79 (1997)
Issue (Month): 1 (February)
Pages: 32-40
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Handle: RePEc:tpr:restat:v:79:y:1997:i:1:p:32-40

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  1. Eric M. Leeper, 2003. "Fiscal Policy and Inflation: Pondering the Imponderables," NBER Working Papers 9506, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Shu-Chun Susan Yang, 2007. "A Chronology Of Postwar U.S. Federal Income Tax Policy," Caepr Working Papers 2007-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
  3. Lanne, Markku & Saikkonen, Pentti, 2009. "Noncausal vector autoregression," Research Discussion Papers 18/2009, Bank of Finland. [Downloadable!]
  4. Austan Goolsbee, 1997. "Investment Tax Incentives, Prices, and the Supply of Capital Goods," NBER Working Papers 6192, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Eric M. Leeper, 2009. "Anchoring Fiscal Expectations," NBER Working Papers 15269, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Boehm, Hjalmar & Funke, Michael, 2000. "Optimal Investment Strategies under Demand and Tax Policy Uncertainty," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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