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

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  • Jeremy R. Rudin

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.

Suggested Citation

  • Jeremy R. Rudin, 1992. "What Do Private Agents Believe about the Time Series Properties of GNP?," Canadian Journal of Economics, Canadian Economics Association, vol. 25(2), pages 369-391, May.
    • Handle: RePEc:cje:issued:v:25:y:1992:i:2:p:369-91
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    Cited by:

    1. Min Fan, 2006. "Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia," Annals of Finance, Springer, vol. 2(3), pages 259-285, July.

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