Pick, A. and Markiewicz, A. (2014). Adaptive learning and survey expectations Journal of Economic Behavior and Organization, 107(Part B):685--707.
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Affiliated authors
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Publication year2014
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JournalJournal of Economic Behavior and Organization
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.