2014-05-09
Adaptive learning and survey data
Publication
Publication
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.
Additional Metadata | |
---|---|
, , , | |
doi.org/10.1016/j.jebo.2014.04.005, hdl.handle.net/1765/62771 | |
ERIM Top-Core Articles | |
Journal of Economic Behavior & Organization | |
Organisation | Erasmus School of Economics |
Markiewicz, A., & Pick, A. (2014). Adaptive learning and survey data. Journal of Economic Behavior & Organization. doi:10.1016/j.jebo.2014.04.005 |